Epam logo
Deltix logo

Ember
Advanced Order Management
and Execution Platform

About Ember

Ember is an ultra-low-latency advanced order management and execution platform developed by Deltix. Ember covers a full spectrum of demanding buy-side and sell-side transaction processor requirements with single-digit μs latencies at scale. Out-of-the-box, Ember offers:

  • a normalized FIX Order Routing gateway with ever growing list of trading venues, currently 150+
  • a normalized REST/WS gateway
  • high throughput execution algorithms
  • a high-fidelity trading gateway with matching engines for running financial exchanges
  • an exchange simulator and smart order routing capabilities
  • risk management and kill switches
  • SDK with code samples to develop all the above and much more

With its outstanding performance, adaptability, and diverse functionalities, Ember sets a new standard in real-time event processing platforms. Discover Ember's power to drive performance, speed, and reliability in today's dynamic trading landscape.

Ember relies on in-house proprietary technologies to achieve best-in-class performance:
Throughput:
• FIX API Gateway: 120 000 order requests/sec
• RPC API GAteway: 210 000 ore3r requests/sec
• FIX Market Data fan out: 1.5 million messages/sec
Tick-to-Order:
FIX API: Network packet-to-packet latency:
• Median: 9.5 microseconds
• 99P: 25 microseconds
RPC API: RTT latency (measured on a local client):
• Median: 5.5 us
• 99P: 8.9 us

To facilitate exceptional performance and prevent bottlenecks, Ember incorporates key features like "on-the-fly" journal compaction and warehousing. These features ensure that the system operates seamlessly under high load, allowing for uninterrupted 24/7 functionality. The "on-the-fly" journal compaction optimizes data storage by efficiently consolidating and organizing transactional data, reducing storage requirements, and improving overall system performance.

Ember prioritizes security by adhering to industry-standard practices. Here are some key security features implemented in Ember:
• OWASP Top 10 Standards: Development in Ember follows the best practices and guidelines outlined by OWASP, ensuring robust security measures. Tools like Spotbugs with a security plugin and Dependency Check are utilized to scan for vulnerabilities in third-party dependencies against the OWASP vulnerabilities database.
• SSL Encryption: Ember ensures data-in-transit encryption for the FIX Gateway and Admin GUI, safeguarding sensitive information during transmission.
• HashiCorp Vault Integration: Ember incorporates HashiCorp Vault for secure secret management, providing a centralized and protected repository for sensitive credentials and access tokens.
• Single Sign-On (SSO): Ember offers SSO functionality for the Ember Monitor GUI, streamlining login processes and enhancing user experience.
• User Authentication and Authorization (UAC): Ember employs user authentication and authorization mechanisms for the Ember Monitor GUI. Users and groups can be managed through LDAP/ActiveDirectory integration, while permission rules based on principles, operations, and resources allow for fine-grained access control.
    - Users, Groups (LDAP/ActiveDirectory)
    - Permission Rules: { ALLOW/DENY, Principal, Operation, Resource }

Ember offers a powerful trading simulation capability that provides realistic order execution. The Exchange Simulator allows users to test execution strategies using both historical and real-time market data.
Ember's proprietary L2-L3 Converter enhances the simulation by restoring and enriching order queue details. Users can send simulated orders using execution algorithms, which fill orders based on the available volume in the order book at sub-millisecond intervals, impacting the order book state. Latencies can be adjusted to simulate real production environments accurately.
Ember's trading simulation enables comprehensive testing and analysis of strategies in a realistic trading environment.

Ember empowers developers with a rich API and SDK, enabling the development of custom execution algorithms. With its versatile capabilities, Ember offers the following APIs to facilitate the creation of customized components:

• RPC API: Ember provides a robust Remote Procedure Call (RPC) API utilizing TCP, UDP, and IPC protocols. This API allows seamless communication and interaction between different components within the Ember framework.
• FIX 4.4 Protocol API: Ember extends support for the FIX 4.4 Protocol API, a widely adopted industry standard for electronic trading communication. This API enables seamless integration with FIX-compliant systems and connectivity to various trading venues.
• In addition to these standard APIs, Ember provides a range of APIs to develop custom components tailored to specific trading requirements. These APIs allow developers to create:
    - Trading and Execution Algorithms
    - Risk Rules
    - Trading Connectors
    - Order Router
    - Message Transformers

Ember supports custom projections (System-wide, Per-Account, Per-Trader, Per-Exchange, Per-Order Source, Per-Contract, Per-Currency, Per-Product Root) that can be composed (e.g. Per-Trader and Exchange).

Risk Limits can be defined at any projection:
• Order Price/Size Checks
• Long/Short Worst-Case Position Size
• Order Submit Rate
• Order Reject Rate
• Gross Trading Volume
• Max number of open orders
• Max Order Lifetime
• Max Order ACK timeout

Ember technology stands out in the market due to its considerably lower total cost of ownership compared to other available solutions. Written in Java, it offers the advantage of a reduced entry barriers for development and support. Ember's versatility is evident as it can run on both Linux and Windows operating systems, on-prem and in cloud environments.

Case Studies

Implementing an Ember-based Ultra-Low Latency Custom Price Construction Engine for Foreign Exchange Division at a Top-tier Canadian Bank

The existing infrastructure struggled to cope with the increasing volumes, ultimately hindering the bank's ability to respond to market dynamics quickly. The Client embarked on implementing an Ember-based custom price construction engine aimed at improving overall performance, reducing latency, and enhancing stability. The engine was designed specifically for foreign currency pairs and utilized Ember's powerful capabilities in handling real-time data.

The team successfully deployed the custom engine, which exhibited exceptional performance in processing over 100,000 messages (price quotes) per second. These messages were aggregated from major liquidity sources worldwide, providing a comprehensive view of the market. Each received price quote triggered the engine to construct a new price promptly, and it was efficiently distributed across the bank's network via the widely used FIX protocol.

The new engine's ultra-low latency capabilities significantly improved the bank's ability to respond swiftly to market events, capturing profitable trading opportunities.

Implementing Ember for Execution of Multi-Leg Trades in the Fixed Income Arbitrage Trading Division at a UK Broker

/

The Client faced the challenge of executing multi-leg trades on different venues located in four distinct locations across three time zones. These trades involved large daily volumes, often exceeding $4 Trillion in notional value. To effectively manage and execute such trades, the broker required a robust and efficient technology solution capable of handling the complexities inherent in fixed income arbitrage trading.

To address these challenges, the broker opted to implement Ember as the primary technology solution for executing multi-leg trades. Ember provided a reliable and flexible framework specifically designed for real-time trading applications. It offered advanced capabilities to handle diverse venues, time zones, and enormous trade volumes while ensuring low latency and high performance.

The Ember-based solution significantly improved the division's efficiency and responsiveness to market dynamics, enabling timely execution of trades and capturing lucrative opportunities. By leveraging Ember's capabilities, the broker gained a competitive edge in the fixed income arbitrage trading domain.

Implementing Ember for Level 2 Market Data Aggregation and Order Matching at a Bank

/

The bank faced the challenge of managing and processing substantial trade volumes while ensuring ultra-low latency and high-speed order processing. The requirement included the need for a reliable Level 2 market data aggregation and storage technology, along with sophisticated order matching, execution, and routing capabilities. The implementation also demanded connectivity with multiple market data and trading venues.

The Ember platform was successfully deployed, enabling the bank to achieve ultra-low latency and extremely efficient order processing. The system effectively aggregated and stored large amounts of time series data required for Level 2 market data analysis and decision-making. It also demonstrated superior speed and reliability in processing very large trade volumes.

The implementation included the integration of custom order matching engines for both internal and external matching, ensuring efficient execution and routing of orders. The connectivity to multiple market data and trading venues further enhanced the bank's capabilities, enabling access to a wide range of liquidity sources.

With Ember as the core technology solution, the bank experienced significant improvements in trade processing efficiency and speed. The ultra-low latency and superior performance of the platform ensured timely execution of orders, improved responsiveness to market dynamics, and enhanced competitiveness in the industry.