Do you do only equities or also derivatives? This is very interesting. Because you run frequent short auctions, there's no strict long-running orderbook here, right? Are you using FIX for your protocol and where are your servers geographically located?
Initially we're US equities only. Stay tuned for other asset classes and geographies. Spot vs derivatives is a core use case that we want to do as soon as we can (only national exchanges can do listed derivatives trades, so it's a big lift).
> there's no strict long-running orderbook here, right
The default good-till behavior is one auction cycle (100ms Poisson random back-to-back).
> Are you using FIX for your protocol
Yes! And, we have a formal model of our FIX spec and self cert flow that makes onboarding us way easier of a process than what's typical [1]
> Are you using FIX for your protocol and where are your servers geographically located?
Initially, just Equinix NY5. Longer term, we plan on PoPing at most financial data centers. We use a constellation of GPS synchronized Stratum 1 clocks and proprietary network timestamping software + hardware to ensure that we process orders entered by the auction call time regardless of what physical host we receive the order on. We do the same for market data broadcast from other trading venues across data centers and geographies. We stream both market data and orders to a central point for processing. Every node in our distributed system that processes orders or “away venue” market data broadcasts a “Gateway Call Announcement (GCA)” message at auction call time to downstream compute nodes that run the auction.