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February 18, 2010

Barclays DMA Goes Sub-Millisecond

By James Ramage

Direct-market access for Barclays Capital's quantitative hedge-fund and high-frequency-trading customers hit the accelerator.

The firm's latest ultra-low latency DMA trading platform, called SubM, handles about 4,000 messages per second. At SubM's fastest, an order can leave from a customer's front end, travel through Barclay's internal risk management controls and reach the exchanges at speeds of between 300 and 350 microseconds, according to John Stracquadanio, global head of Quant PB, Barclays Capital Prime Services business.

"It's basically meant for DMA trading, where the intention is to reach the markets directly through our plumbing," he said. "And the name of the game is to introduce as little latency as possible."

SubM consists of pipes that function as a thin-layered order management system which sits between customers and the exchanges, Stracquadanio said. Customers send their orders by FIX or some native protocol to reach the SubM infrastructure. It is then translated, checked and re-directed to the exchanges.

One Barclays exec said demand for SubM should stay strong as the customer base evolves. Those include a growing number of high-frequency market makers, as well as stat-arb and short-term alpha-driven model players who require low-latency DMA.

 

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