Derivatives clearing and low-latency pricing
Citi · Derivatives Clearing Trading Systems

- Business Context
- A clearing platform processing prime-broker and intermediated credit and rates trades for the institution's global client base, with distributed development across Jersey City and Shanghai.
- Challenge
- Rising trade volumes, new Dodd-Frank regulatory obligations, latency in the pricing path, and a trader front end and mobile access that needed rebuilding.
- Scope
- Our specialists led development across the clearing platform: trade rules, pricing, connectivity, regulatory enhancements, front end and mobile interfaces.
- Solution Delivered
- A pricing server rebuilt on Linux UDP in place of a message-bus transport; a C++ QuickFIX gateway for credit-hub connectivity; Groovy trade-rule templates parsing venue XML from CME, ICE, LCH, MarkitWire and JSCC; and the trader front end rewritten in C#/.NET.
Technologies
Java · Spring · PL/SQL and Oracle packages · C++ · C#/.NET · Groovy · Web Services · GemFire cache · Tibco Rendezvous · IBM MQ · FIX/QuickFIX · Linux · JavaScript, HTML5, jQuery, WebSocket
Results
18 ms round-trip request/response on the rebuilt pricing path. Regulatory capability extended for Dodd-Frank. Mobile access delivered for Android and iOS.
Pillars
- 01 Financial Solutions
- 03 Scalability & Optimization
- 05 Databases & Event Streaming






















