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Architecture

In the Architectural diagram below, we illustrate a standard Ember deployment model:

quantoffice architecture

  • TimeBase: a time-series database developed by Deltix, is used for Market Data aggregation and distribution.
  • Ember Monitor: GUI for monitoring and administration service.
  • Data Warehousing: service responsible for streaming/batching historical orders and trades for long-term storage and integration with back office pipelines. Processed orders are streamed in open format into the data warehouse of customer choice.
  • Ember Journal: system transaction log, replicated on a cluster. High-performance I/O methods prevent system bottlenecks. “On the fly” journal compaction and warehousing enable 24/7 system function under high load. 
  • Execution Algos: Ember contains several predefined execution algorithms: ICEBERG, TWAP, VWAP, PVOL, and SOR. A software framework for developing custom execution algorithms is also included.
  • Matching Engines: CLOB or Dark Pool matching engines. API to develop custom implementations.
  • Direct FIX Gateway: The platform features a highly optimized best-in-class FIX Engine used in FIX Gateways and Trade Connectors.
  • Market Data Aggregator: a process that collects market data from different sources and saves it in TimeBase.