The Tradetech Daily

Knight CapitalKnight Capital Group

Knight CapitalKnight Capital Group

Joe Wald, managing directorEmail: jwald@knight.comTel: +1 212 479 2335

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



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


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.