Fully Automated Trading System
Lightspeed Gateway offers super low latency to the domestic equity exchanges, including the NYSE and the NASDAQ stock markets. It is completely platform agnostic and can be used on all major operating systems and programming languages.
The technology is divided into three main components that power our Algorithmic Trading product. These components include a Market Data System, an Order Entry System, and a Clearing Interface.
Market Data System: Lightspeed Gateway’s Market Data System is comprised of three distinct sub-components:
- Multicast feeds – Qualified customers can connect to venues and directly receive the full raw data from a dedicated port on your server
- Lightspeed Books – Connects to various splitters and feeds out a normalized market data feed for individual markets and ECN’s
- Prints and Quotes – Provides a normalized, aggregated Level I and II market data feed
Order Entry System: Lightspeed Gateway’s Order Entry System is built specifically for speed and stability. It is comprised of various specialized sub-components, performing the following functions:
- Short locate and short management
- Buying power, buying power factor, maximum order size, maximum position size, P&L loss thresholds
- Connectivity to market centers to deliver orders
- Connectivity to Lightspeed clearing and database systems
- Load-balancing and fail-over (fully distributed, horizontally scalable architecture)
Clearing Interface: Lightspeed Gateway’s Clearing Interface is an internally managed relational database that is used in conjunction with the clearing firms in order to perform trade-level bookkeeping and to generate regulatory reporting (i.e., OATS).
- Market Anonymity – All customer orders are funneled into a common MPID and port as they are sent to the markets
- Customer Anonymity – Order flow goes through dedicated Lightspeed Gateway hardware creating network and hardware segregation between customers
- Lightspeed Anonymity – Lightspeed does not engage in proprietary trading. We are a technology provider with no conflict of interest
NASDAQ Co-Located Datacenter
- Lightspeed Gateway’s infrastructure is located within Verizon’s Carteret, NJ datacenter. Co-location provides Lightspeed Gateway clients zero external network “hop” access to NASDAQ, offering a tremendous performance gain in NASDAQ-bound orders.
- Lightspeed Gateway has direct connections to all major U.S. equities markets, ECNs and ATSs. Our extensive connectivity with other market centers delivers comprehensive market data and execution solutions.
- All account rules have been uniquely coded to minimize latency. These rules monitor risks associated with buying power, buying power factor, maximum order size, maximum position size, P&L loss thresholds, short checking, odd lot allowances/restrictions and settings to reject all incoming orders.
System Availability, Scalability and Recoverability
- Lightspeed Gateway’s dynamic architecture is highly dependable during volatile markets with an average up-time of 99.99%. Scalability has been addressed via the distributed system design. Recoverability is an absolute requirement for Lightspeed Gateway. All of the components of Lightspeed Gateway’s infrastructure are either stateless or can perform a full rewind, which is a key requirement for recoverability.
Service, Lightspeed provides the following services to each customer:
- Technical Account Management Team – Devoted exclusively to technical needs of the automated black box trader.
- Financial Account Management Team – A dedicated financial account manager and a real time accounting website provides easy access to daily, weekly, monthly, and year-to-date financial information.
- Trade Support – Specialists assist traders with any trade related questions or issues
- Active traders, proprietary trading groups and hedge fund customers, always benefit from Lightspeed’s competitive rates.
The performance of a direct market access system is evaluated on four criteria: speed, reliability, consistency, and functionality. Some of these attributes are inversely related to each other. For example, the redundancies necessary to increase system reliability also reduce the speed of each transaction. We continually evaluate the balance of these attributes in order to maximize our clients’ profits and enable trading strategies that would otherwise be impossible.
- Protocol – In its most basic form, Lightspeed Gateway is a proprietary protocol that allows markets and trading algorithms to communicate. While some protocols are built to satisfy the needs of many, Lightspeed Gateway is built for those who need speed. Lightspeed Gateway is optimized internally so that details are hidden from the end user, making the code simple, fast, and stable.
- Co-Location – Active trading is a race where milliseconds make all the difference. Lightspeed Gateway co-locates its servers in the same data-centers as NASDAQ so that data only needs to travel through a few feet of fiber optic cable.
- Efficiency – Lightspeed Gateway prides itself on being brutally efficient. All risk and compliance checks are made prior to sending data to market without incurring any measurable latency. It is Lightspeed Gateway’s efficiency that allows these services to be provided with no significant impact on performance.
- Protocol-Based Stability – A simple protocol implies simple code, and simple code is always more stable. That’s one of the strongest motivations behind the Lightspeed Gateway protocol specification.
- Hardware-Based Stability – Our single-tasked computers can be horizontally scaled from the technology powering Lightspeed Gateway. Single component failure will not affect the system as a whole.
- Order Entry – There are countless opportunities in the market, but many are short-lived. This results in large numbers of orders being placed in short periods of time. Lightspeed Gateway’s order entry system is specifically designed to avoid this problem.
- Market Data – Nowhere else is the adage “garbage in, garbage out” more true than in automated trading. Consistent and dependable delivery of market data to a black box is an absolute necessity. Lightspeed Gateway excels in this area too. Offering a multitude of delivery options and historical data for end-user back testing, Lightspeed Gateway gives your black box the market data it needs to be effective.
- Connectivity – Lightspeed Gateway connects to all the major markets and is co-located with NASDAQ at their military grade hosting facility. Additionally, order types such as RASH are supported by Lightspeed Gateway’s order entry system.