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SGX Derivatives Trading (SGX-DT) 

The Singapore Exchange Derivatives Trading (DT) market offers both short and long term interest rates, Equity Index futures, and options on futures and commodity futures for palm and fuel oil.

SGX are rolling out the SGX TITAN-DT Trading and Clearing Infrastructure based on NASDAQ Genium INET platform.

Access to SGX-DT requires consideration of the existing SGX QUEST-DT and the new SGX TITAN-DT platform capabilities and changes, review of a number of key differences between the OMNet API implementations for SGX QUEST-DT and SGX TITAN-DT in areas of changes to message and data types, and the two different SGX TITAN-DT API options (OMNet API or ITCH/OUCH).

The OnixS directConnect: SGX QUEST-DT and SGX TITAN-DT Market Data and Trade Handler solutions provide out-of-the-box solutions for:

OMNet API Market Data:

  • Order Book management and processing of Real Time Market Data broadcast events.
  • Processing incremental updates and maintaining the order book image.
  • Ability to subscribe to specific product groups broadcasts defined within the "Virtual Underlying" process
  • Refresh Service. Provides a snapshot of the order book, at the time of processing classB messages for specific instruments.
  • Instrument static downloaded daily prior to market open and support for the dedicated real-time channel for intraday changes.
  • Segmented Broadcast handling

OMNet API Trading:

  • The lowest latency OMNet API for order entry to SGX DT markets
  • Session establishment and management
  • Supports transport level optimization and session level state maintenance – ability to tune transport efficiency and provides session level state management.
  • Supports Trading session states at the Market, Instrument and Instrument Class Level
  • Active State aware for all instruments and combinations
  • Deal capture and Deal capture Sequences
  • Associated Order Transactions and Queries

 

The OnixS directConnect: SGX TITAN-DT ITCH Market Data and OUCH Trading Handler solutions provide out-of-the-box solutions for:

ITCH Market Data:

  • Order Book management and processing of Real Time Market Data broadcast events.
  • Processing incremental updates and maintaining the order book image.
  • Supports ITCH Rewinder (recovery of lost packets) and GLIMPSE (Order Book snapshot recovery).
  • Instrument static downloaded daily prior to market open and support for the dedicated real-time channel for intraday changes.
  • Market by Order (MBO) multicast feed support

OUCH Trading:

  • Supporting the lowest latency, highest through-put API for order entry to SGX DT markets
  •  Asynchronous Order Entry
  • OUCH protocol support to enter, replace, and cancel orders and receive executions

 

The general context of the options between the SGX TITAN-DT OMNet API and the SGX TITAN-DT ITCH/OUCH API are that:

  • The OMNET API provides the full suite of functionality at the cost of performance and is typically what most general use market participants will prefer.
  • The SGX TITAN-DT ITCH/OUCH APIs are more likely to be used in proprietary trading firms where the trading strategies are very latency critical. The improved speed is the tradeoff against the more limited functionality available.
SGX TITAN-DT Order Routing OUCH vs OMNet API
FunctionalityOUCHOMNet API
Order Entry Asynchronous
Fixed-length messages
Order entry (tx) independent of acknowledgement messages (ack)
Synchronous. Next order can only be sent upon receiving acknowledgement of previous order
Performance High performance can be achieved with a single session Parallel sessions can be used to maximise throughput
Partitions Each gateway can only connect to one partition.
Partition specific. Requires a minimum of 2 OUCH IDs to support all products on DT
Each gateway can send transactions to all partitions
Not partition specific
Throttles 50 TPS 10 TPS or 50 TPS
Quotes No quoting function. Market Making by submitting both side orders to fulfill quoting obligation Mass quote with MO36/MO96
Market Maker Protection Not available Can be configured with DC87
Order Types Limit orders only (i.e. no market orders, overnight long dated orders etc) All types of orders, including Trade Reporting and Queries
Order Routing Latency Approximately 100-150us MO1 latency is approximately 150-200us
Market Data No market data broadcast flow (bdx), requires Market data broadcast flow (bdx) in same sessionstherefore a companion ITCH feed is needed Market data broadcast flow (bdx) in same sessions
Market Feed API also available for advanced OMS clients who prefer to use separate sessions for bdx
Drop Copy No drop copy functionality Drop copy (using BO5)
Order Book including orders sent via OUCH gateway
Supports cancellation of orders entered by another session, or via OUCH
Connectivity Colocation only Colo, WAN, Liquidity hubs

 

Singapore Exchange, SGX, the SGX logo are trademarks of the Singapore Exchange. NASDAQ Genium INET, OMNet are trademarks of NASDAQ OMX and OMX AB.