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Designing a FIX based trade capture feed
KTH, School of Information and Communication Technology (ICT).
2012 (English)Independent thesis Basic level (degree of Bachelor), 10 credits / 15 HE creditsStudent thesisAlternative title
Design av loggningsapplikation för finansiell transaktion som använder FIX-protokollet (Swedish)
Abstract [sv]

Varje dag omsätts aktier för ca 10 miljarder SEK på Stockholmsbörsen. Detta sker via miljontals elektroniska meddelanden som processas på microsekund basis av olika aktörer. För att hantera och lagra denna information krävs komplexa system samt en standard för meddelandetrafiken.

Hos bankerna finns det normalt sätt flera olika system som används vid orderläggning mot börsen. Varje system känner till sina egna ordrar och avslut. I vissa situationer finns det dock behov av att skapa ett system som känner till samtliga avslut och ordrar som banken gjort. Användningsområdet är till exempel att mata ett backoffice-system på en bank med avslut men även möjliggöra övervakning samt avstämningsrapporter. Detta görs normalt sätt med hjälp av en så kallad Drop copy session som konsoliderar avslut från flera orderläggningssystem.

Projektet gick ut på att utveckla ett program som klarar av att koppla upp sig mot ett börssystem (tex NASDAQOMX alternativt Burgundy) via FIX-protokollet som är en industristandard för elektronisk handel och sedan prenumerera på avslut. Dessa avslut skall sedan sparas ned i ett lämpligt format (flatfile eller databas). Sessionen som skapas mot börsen skall vara av typ Drop copy.

En java baserad lösning som skriver ner ordrar och avslut i en SQL server databas utvecklades framgångsrikt och produktionsattes hos uppdragsgivaren 2012-06-08

Abstract [en]

Every day shares for about 10 billion SEK is traded on the Stockholm Stock Exchange. This is accomplished through millions of electronic messages that are processed on micro seconds basis by different participants. Complex systems and a message standard are required in order to handle and store this information. Banks normally use several different systems when interacting with the exchange. Each system is aware of its own orders and trades. However, in some situations there is a need to create a system which has an aggregated view of all trades and orders that the bank have created. Examples are Back office system as well as risk monitoring and different reconciliation reports. This is normally done by means of a so-called Dsrop copy sessions which consolidates trades and orders done via several different sessions into one.

The main task of the project was to develop a program that is able to connect to the exchange (i.e NASDAQOMX or Burgundy) via the FIX protocol which is an industry standard for electronic trading and then subscribe/process all messages regarding orders and trades. This information should then be stored into a suitable format (flat file or database). The session which is created towards the exchange should be of type Drop copy.

A java based solution which stores orders and trades into a SQL Server was successfully developed and installed in production at the customer 2012-06-08.

Place, publisher, year, edition, pages
2012. , 26 p.
Series
Trita-ICT-EX, 2012:161
National Category
Engineering and Technology
Identifiers
URN: urn:nbn:se:kth:diva-108168OAI: oai:DiVA.org:kth-108168DiVA: diva2:579135
Educational program
Master of Science in Engineering - Information and Communication Technology
Uppsok
Technology
Examiners
Available from: 2012-12-19 Created: 2012-12-19 Last updated: 2012-12-19Bibliographically approved

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