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Brijesh Malkan
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Do you think it's a good idea to conduct an access fee pilot to assess the pricing models used by many trading venues?

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June 1, 2011

MSET Checks Get Faster

By John D'Antona Jr.

Morgan Stanley's electronic trading group has reduced the latency of the risk checks in its sponsored access software.

The software, Speedway, is similar to the sponsored access offerings of certain clearing firms or FTEN. It sits in servers co-located at various exchanges, offering high-speed direct market access to Morgan's latency-sensitive customers.

Speedway was first released in 2006 and risk checking took about a hundred microseconds. In order to meet today's low-latency demand, Morgan Stanley reduced latency to two microseconds through code optimizations and hardware upgrades, according to Ari Kaplan, global head of quantitative client business for Morgan Stanley's electronic trading group.

"For some trading styles, if you're not the first, second or third in an exchange order book when the price moves, you might not get an execution," he said.

The speedier risk check protocol comes as the Securities and Exchange Commission prepares to enact its "naked access" rule that mandates brokers have to provide risk checks for orders before they are entered into the market.

"What we did was go with a traditional host, so now we can integrate changes to Speedway easier and faster, not to mention at a lower cost," Kaplan said.

The Speedway servers are collocated at all major U.S. exchanges, he said.

 

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