As LiquidityHub prepares to add US treasuries to its platform in January, the consortium-owned aggregator for streaming prices is seeing its messaging hub based on BEA WebLogic RealTime deliver eight millisecond latency from dealer to distributor.
LiquidityHub is backed by a consortium of 16 leading investment banks in the fixed income markets and provides aggregated liquidity and market data in support of electronic trading. It aggregates streaming prices for its 16 participating banks, and distributes via Reuters and Bloomberg.
The service launched in late October, initially supporting vanilla euro interest rate swaps (IRS), and has since added vanilla USD IRS. Tony Harrop, CTO of LiquidityHub, says that they are currently piloting US treasuries and plan to support them from January. "Additionally, we are looking to develop a roadmap for enhancements every three months or so. We are keen on adding European government bonds and broadening the IRS coverage to include more tenors and currencies and more complex structures," he says.
LiquidtyHub uses Request for Stream (RFS) as its electronic trading protocol, a first for the IRS market. RFS allows real-time pricing via dynamic streaming updates, and LiquidityHub says this will help ensure execution at the best market price by fostering a true dynamic multi-dealer environment and initiating greater market transparency and competitive pricing overall.
"Clients value the choice of real-time prices as there is less risk for the dealer of a trade being rejected due to market movement, but the RFS model is a technically challenging environment as prices are streamed, hence the importance of low latency high performance messaging," says Harrop."Our target was to achieve less than 100ms latency end to end from dealer to distributor. We're currently hitting 8ms and expect we can maintain this low latency as we scale out the platform as volumes grow and we add new products."
The LiquidityHub incorporates a high performance messaging hub capable of handling more than 10,000 messages per second; and the company says it is the first fixed income trading platform to be distributor neutral; and the first to have extended industry-standard messaging interfaces.
The messaging hub is based on BEA WebLogic RealTime 2.0, which is powered by BEA's Java virtual machine BEA JRockitand. It also features a latency analyzer, allowing LiquidityHub to analyze and tune latency sources and providing latency resolution in nanoseconds. Because the latency analyzer does not impact the running application's performance, BEA claims it can be used in production to enable real-time analysis of the critical financial solution.