Knight CapitalKnight Capital Group
Knight''s FAN smart order router keeps a short-term view of where liquidity is being executed. It will use this information to learn where liquidity is, and send fewer orders. This reduces latency, improves price performance, and limits information leakage. The SOR''s routing logic can be tailored to any client''s specifications in any or all supported regions. FAN will quickly adapt to changes not only occurring in the market, but within FAN itself.
Access and algorithmicintegration
FAN can be accessed via
Knight”s or other high-level
algorithms, or directly via
FIX or the Knight Direct
execution management
system. The design of FAN”s
core logic lends itself well to
operating in different regions
with different exchange rule
sets.
Destinations
FAN is available in the US,
Canada, Brazil, Europe and
Asia. This includes all North
American exchanges and
most dark pools, all
European exchanges, multilateral trading facilities
and most dark pools, and
primary exchanges in Brazil,
Japan, Hong Kong,
Singapore, and Australia.
As part of releasing access
to any given market or
segment, an evaluation of
exchange order types, tick
sizes, lot sizes, display rules,
and auction periods are
undertaken. These rules are
then configured within FAN.
Order types and clientreporting
FAN supports all traditional
order types including market,
limit, pegged, on-open,
on-close and stop. Additional
routing instructions such as
dark only, public only and
primary only, are also
supported.
Data feeds
The router uses exchanges”
proprietary feeds for realtime
data. Historical data
stored in a proprietary
database is also used..
Routing logic
Market access times are
under two milliseconds and
the router can currently
handle between 150 and 200 million shares a day with
about 200,000 inbound
customer orders. Capacity is
maintained at three times
current peak volume.
Order placements are
monitored in real time
against normal venue latency.
If latency grows beyond its
normal threshold, the
placements are delinked from
the customer”s order and the
router will automatically
work around the orders. The
route will also be excluded
from new order placements.
FAN takes into account
short-term and long-term
historical execution statistics,
displayed liquidity, time, the
state of a stock (i.e. auction-period,
halted, continuously
trading, etc) and anti-gaming
alerts. FAN uses heat maps
and dynamically redirects
orders based on new
information. Clients can
manipulate the rules
governing the routing logic.
Future plans
In the next 12-18 months,
Knight will add support for
emerging markets in Asia,
further reduce latency and
improve statistics of routing.