CMC Leverages StreamBase CEP for FX Quotation and Internal Applications

CMC Markets, a global market maker in foreign exchange and other instruments with a focus on the retail sector, has implemented StreamBase Systems' complex event processing (CEP) technology in support of applications for FX price quotations for clients, as well as other internal functions. In use since August, CMC plans to extend StreamBase's use to other markets, including indices, futures, commodities and treasuries.

According to CMC Markets' London-based CIO Asif Adatia, StreamBase is being used primarily to cleanse incoming market information, apply proprietary models and then publish bid/offer prices to clients. Other applications benefiting from the technology including P&L calculations, hedging and risk management. Its use for surveillance is also being explored.

CMC selected StreamBase after evaluating offerings from Progress/Apama and Corel8 (now merged into Aleri), says Adatia, who adds that most of the focus was on StreamBase and Apama. In the end, says Adatia, StreamBase won out because of a number of factors, including the flexibility of its visual development approach, which allows CMC's financial engineers to create models readily, without resorting to code-level programming.

Also a plus for StreamBase was its existing connectivity to data sources and the ease with which new ones can be implemented. CMC receives data primarily in the form of direct feeds from what Adatia characterises as "Tier 1 brokers" as well as from data aggregators. And if code-level programming is required, StreamBase allows the use of both Java and C++, which is attractive, he adds.

Before it implemented StreamBase, CMC used an in-house developed system, which Adatia says "did a reasonable job" but had issues with scalability and extensibility, notably requiring code level programming to add new models. In stress tests, CMC has benchmarked the StreamBase technology handling 17,000 price ticks per second, at which rate it performed well with low server utilisation, Adatia says. That figure represents more than twice the real-life peak rate for price ticks encountered so far, he adds.

StreamBase executives highlight the CEP technology's high performance 'out of the box', which allows customers to focus their efforts on business logic and not on scaling IT platforms to support it. CMC is running StreamBase in a LInux environment, although across its enterprise, it uses a mix of platforms.

“We are seeing more and more interest in FX applications for StreamBase,” says Mark Palmer, CEO of StreamBase. “FX customers have special requirements such as direct bank connections and the need to rapidly add new data feeds. CMC Markets’ selection of StreamBase is another sign that CEP is moving away from first generation applications such as algorithmic trading for equities and into more second generation application, including those for FX."

As well as servicing retail clients - supporting internet-based trading since 1996 - CMC also conducts business with banks, brokers and financial intermediaries worldwide, via a network of 23 offices. It executed more than 20 million trades during financial year 2007/2008, with a total value of $1.4 trillion.