BATS Exchange, the US equities exchange operated by BATS Global Markets, has announced a series of improvements to its trading technologies.
The exchange says it has recently completed significant enhancements to its smart order router, which have resulted in it achieving a greater than 70% share fill rate and an 8 millisecond average order lifetime.
BATS has also recently completed projects which have reduced overall system latency and increased throughput. According to statistics collected outside the BATS network, BATS Exchange’s FIX order entry latency – the time it takes to accept, process and acknowledge or fill an order – had dropped by 145 microseconds or 37%. FIX order entry now averages 250 microseconds. 1% of orders achieve latency of within 200 microseconds, while 99.9% of orders are subject to latency of within 1.3 milliseconds.
The exchange’s order-to-quote latency – the time it takes to accept and process a visible order via FIX and display it using BATS’ Multicast PITCH data feed – has fallen by 325 microseconds or 52%. Average order-to-quote latency is now 305 microseconds. 1% of orders are subject to latencies of 215 microseconds, while 99.9% of all orders are processed within 1.9 milliseconds.
BATS Exchange’s capacity has handled message peaks of 440,000 messages per second and has been stress tested to sustain greater than 600,000 messages per second while handling momentary peaks well above the sustained rate, according to the company. When the BATS Options platform is launched this year the system will handle more than 1.2 million messages per second on a sustained basis as a result of improvements completed in 2009.
In addition to launching its new US options exchange BATS plans to launch a secondary US equities platform, BYX, early this year.