Ember

Advanced Order Management
and Execution Platform

Normalized market data and order entry APIs to over 150 trading venues
Internal end-to-end latency measured in single-digit microseconds
Reliable processing of 120,000 trading requests per second under sustained load
Multiple API options: Java, FIX, REST, and WebSocket

Backed by nearly 20 years in trading tech, Ember is our fastest, most advanced platform yet.

Used by Deltix products:

You can use Ember for

OEMS (Trade Hub)

Ember’s Trade Hub serves as a unified, normalized API gateway to diverse markets across most asset classes — ranging from exchange-traded synthetics to cryptos. Trade Hub offers extensive API support with FIX 4.4 / 5.0 and REST / WebSocket gateways, complete with Java, Python, and JavaScript sample code to simplify integrations.

Trade Hub

Trade Hub’s order-entry capabilities include robust Risk controls, configurable Kill Switches, multi-projection Position tracking. It supports SMART order routing and provides out-of-the-box execution algorithms like TWAP, VWAP, PVOL, and ICEBERG. For this use case Ember provides Java SDK to develop custom execution algorithms and implement functionality like internal order crossing based on customer specs. Trade Hub supports Executable Streaming Prices (ESP) with Market-by-Price and Market-by-Order depth and Request for Quote (RFQ/RFS) workflows. It provides advanced Market Simulation capabilities that enable back testing and real time paper trading.

Trading Algorithms

Ember provides a Java SDK for building custom execution co-lo algorithms. Its normalized APIs for market data venues, order book interactions, and order entry offer a reliable abstraction layer. Combined with market simulators and the ability to debug code directly in IntelliJ IDEA, Ember significantly reduces time to market.

Cross-connected Ember instances can be deployed in different data centers around the world, enabling various market-making and arbitrage strategies.

Ember includes a set of standard algorithms, such as smart ICEBERG, market-chasing TWAP, VWAP, and Participation Volume (PVOL), all built using the Algo SDK.

Additionally, Ember provides FIX and REST WebSocket APIs for implementing trading logic externally in Python, Java, JavaScript, and other languages.

Trading Algos

Custom Dark Pools / Matching Engines

Ember can be used to implement low-latency matching engines, with matching logic programmed using Ember's Algorithm SDK (Java). The following types of solutions have been successfully built:

  • Central Limit Order Book (CLOB) matching engines (a CLOB sample is included in the SDK).
  • Internally crossing matching engines that maintain passive orders in the book and route aggressive orders to external venues when opportunities arise.
  • Matching engines with RFQ capabilities.
Matching Algos

Matching engines typically publish Market-By-Order price feeds to TimeBase. Ember can then rebroadcast these feeds via the FIX Market Data Gateway to matching engine participants. With Ember's optimized architecture, the end-to-end latency for order-to-fill operations can be as low as 5-6 microseconds, measured at the OS network layer.

Smart Order Routing (SOR)

Ember includes a standard Smart Order Routing (SOR) algorithm designed to optimize execution across multiple exchanges. For a given order quantity, the SOR algorithm constructs an execution plan by evaluating the following factors for each exchange:

  • Available liquidity, starting from the top of the book
  • Commissions charged by the exchange (e.g., maker/taker fees, trade volume discounts)
  • Available account balance on the exchange
  • Recent rejection statistics for the exchange
  • Per-exchange security metadata, including order price precision, quantity precision, minimum order size, and more
SOR Algorithm

FIX Market Data Gateway

When combined with TimeBase, Ember can be used to redistribute market data to numerous FIX clients (commonly referred to as "FIX Fan-out"). Market data can be ingested into TimeBase from a variety of markets and protocols, ranging from ITCH and MDP to WebSocket, and then redistributed to interested parties in a normalized FIX format.

FIX Market Data Gateway

Depending on the specific needs of different client groups, Ember can distribute aggregated and consolidated order books, broadcast Market by Order (Level 3) and Market by Price (Level 2) feeds with configurable depth (limited or unlimited) and throttling. Its highly efficient FIX engine and gateway design enable feeding data to hundreds of clients seamlessly.

Ember integrated with the 150+ market venues:

alphapoint ascendex attreyu
b2c2 barclays bbs
bcause beaxy binance
binance bitbank bitfinex
bitflyer bithumb bitmart
bitmex bitpanda bitstamp
bittrex blockfills bloomberg
bnpparibas bostontechnologies brokertec
btcbox btg btig
bybit cfh cibc
citadeltechnology citi cma
cme coinbase coinflex
coinfloor coinlist cqg
cryptofacilities cryptopia ctp
ctrader currenex datatec
db dealerweb deltix
deribit dukascopy dv
dydx eSpeed easyscreen
ebs eris erisx
eurex exante ezecastle
falconx fastfill fastmatch
fenics fidessa flextrade
ften ftx fxcm
fxworks gdax gemini
genesis gma goldi
goldmansachs gts hitbtc
hkex huobi ib
icap ice inforeach
instinet integral itbit
itg jcx jex
jpmorgan jump knight
korbit kraken kryptono
kucoin kyte ledgerx
lime liquidityedge lmax
lmex marketfactory mercury
merrilllynch millenium moex
morganstenley neovest newedge
nomura ntpro objecttrading
okex okx onix
otcxn poloniex portware
powertrade primexm qb
quik quoine rbc
realtick reuters robotrader
samsung seedcx shinhan
stellar sungard systex
taifex tradair trayport
truemax tt ubs
uulink virtu xbto
xstream

Your venue not in the list? We have a dedicated team who specialize in market integrations

Case Studies
Ember-based Ultra-Low Latency Custom Price Construction Engine for Foreign Exchange Division at a Top-tier Canadian Bank
Ember as Multi-Leg Trade execution platform for the Fixed Income Arbitrage Trading Division at a UK Broker
Ember for Level 2 Market Data Aggregation and Order Matching at a 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.

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.

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 market data and 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.

  • Around 5000 active orders on several markets (on average)
  • Million+ of order requests per hour
  • 25+ Gb of FIX Message logs per day
Architecture
architecture
  • Market Data Aggregator: A service that normalizes and aggregates market data from various sources, storing it in TimeBase.
  • TimeBase: A time-series database developed by Deltix, used for market data aggregation, distribution, and custom complex event processing. For low-latency market data consumers (such as certain Ember algorithms), TimeBase offers IPC/Unicast topic channels that deliver nearly 100x the throughput and latency improvements over traditional data streams..
  • Ember: The core service that manages Order and Position State, performs pre-trade risk checks, and runs algorithms with custom trading logic and adapters for each target trading venue. Ember uses an event-sourcing architecture and features a Write-Ahead Log (WAL or Ember Journal) to record trading requests and events impacting the OMS state. In high availability mode, the journal is synchronously replicated from the leader to the follower Ember instance. On-the-fly journal compaction and trading history warehousing support 24/7 system operation under heavy load.
  • Trade History: Trading history can be streamed to various data warehouses for long-term storage and integration with back-office pipelines. This approach follows the CQRS design pattern, offloading intensive data queries from the OMS. Supported data warehouses include TimeBase, ClickHouse, Kafka, S3/Athena, Amazon Redshift, and RDS SQL Server. Ember also offers FIX Drop Copy services and distributes daily trading reports via mailing lists.
  • APIs: Ember includes high performance FIX Gateways capable of servicing hundreds of Market data and Order Entry clients. REST and WebSocket gateway simplifies Python/JavaScript client integrations. Ember includes high-performance FIX gateways capable of serving hundreds of market data and order entry clients. The REST and WebSocket gateways facilitate Python and JavaScript client integrations. Ember also provides a Java RPC API that offers optimal performance for external order entry and enables remote control of Ember's internal operations.
Get in touch