EBS Direct 2.0 has been completely rewritten to offer the lowest possible latency platforms. To ensure the best possible experience on the platform for both you and your clients we offer our recommendations in this section.

Technical Optimizations

FIX Message Format

Where possible we recommend clients only populate mandatory tags on any given message, omitting any optional tags. This is most beneficial on Market Data Snapshot Full Refresh (35=W) messages which account for the majority of both processing power and network resources consumed, however it also applies to Execution Report (35=8) messages. In the Application Layer FIX Message Definition section tags which can be omitted have been highlighted in light blue.

Multiplex Pricing

EBS Direct 2.0 is designed to allow for streaming multiple Pricing Segments over a single FIX session, these are distinguished by use of MDStreamID(1500) on the Market Data Request (35=V).

The below diagram visualises the implementation for a Maker with 4 pricing segments:

The FIX implementation is simple:

• In order to differentiate individual price segments on a single FIX session EBS utilizes the MDStreamID(1500) FIX tag.

• The MDStreamID is specified on the EBS:

  • Market Data Request (35=V)

  • New Order Single (35=D)

• Makers can optionally echo the tag back in the corresponding Market Data Snapshot Full Refresh (35=W) and Execution Report (35=8) messages.

Limit Orders

EBS recommend supporting Limit orders in preference to Previously Quoted orders where possible. This is designed to increase the likelihood of LCs executing with you in case of fast moving markets. However if your platform offers features specific to Previously Quoted orders (such as the ability to potentially honor historical quotes for a limited time) then please discuss the best option with your EBS representative.

MTU Size

By default the TCP MTU size is 1500 bytes, ideally Market Data Snapshot Full Refresh (35=W) updates should be within this size to optimize performance. By following the advice on FIX Message Format (above) and Volumes (below) you will help to reduce the message size.

Business Optimizations

Business Optimization includes the following:

• Currency Pairs and Volumes

• Quote Inventory Management

Currency Pairs and Volumes

To further minimize the volume of data that needs to be processed it is recommended that Makers discuss the optimum currency pairs and volumes for streaming with your EBS Liquidity Management representative. Streaming excessive currency pairs or volumes will lead to unnecessary processing overhead.

You can control currency pairs that are enabled for EBS Direct 2.0 in the EBS Liquidity Provider Manager (LPM) tool (and in the future the forthcoming EBS Admin tool).

Quote Inventory Management

EBS offers three types of Quote Inventory Management:

• Allow x number of executions per Market Data Snapshot. Where x is configurable and increments if any individual MDEntry is traded against.

• Decrement individual Market Data entry after match. Where:

  • For Sweepable flow the available volume is reduced by the amount traded until available volume is exhausted.

  • For Single Ticket flow the specific MDEntry is removed.

• None.

For the lowest possible latency EBS recommend that Makers manage quote inventory themselves. If this is not possible then opting to allow x number of executions per Market Data Snapshot is the next lowest latency solution. However each Maker needs to consider the level of protection they need and whether the associated latency improvements outweigh any given business requirements.