Zenith components consist of the Zenith Proxy component (called “proxy” in the above diagram) and its backend plugins (“Feed Server” and “Trading Agent” in the above diagram)
The Zenith Proxy component is a subscription caching proxy with front end and back end plugins. It is the front-end component for our data and trading APIs.
Front end plugins for Zenith Proxy convert external protocols to the internal Zenith protocol and then use an existing subscription for that data or request a new one. In the above diagram there are 2 protocols:
Whenever a request for data is made, then the Zenith Proxy will check if a subscription for it is already cached. If not, it will request the data from one of the back-end plugins. For example, if a client application wished to view depth for stock code 6399 on Bursa exchange, when the Zenith Proxy receives this request, it will check if a subscription for it already exists. If not, it will communicate with the “Feed Server” (via interlink) and subscribe to 6399 depth. The proxy then will begin receiving data for 6399, update its internal picture for 6399 and also pass on the updates to the client. If a second client then wishes to receive data for stock code 6399, the proxy can then satisfy this request from its existing subscription in its cache.
The same approach is used for getting trading data. For example, a client application wishes to receive streaming data for account “12345”. However, in this case, if an existing subscription does not exist, the Zenith Proxy will know that it needs to request the data from the “Trading Agent” Zenith back end plugin.
With this design, it makes it easy for new exchanges to be supported. All we need to do is create a new back end plugin for the exchange and provide its instrument codes a market namespace. As can be seen above, a backend plugin does not necessarily have to be for an exchange. It can be for any type of data source.
Zenith Proxy will also authenticate and authorise each request. It has access to the “passport front end” which it can use to validate tokens. It will check authorisations by accessing the relevant association data in “Vault”
For redundancy purposes, you will typically have at least 2 Zenith Proxies running. These will be active/active. That is a client application can connect to either of these to access the APIs. In the unlikely event that one fails (eg server failure), the client can simply connect to the other. In a cloud environment, you would typically place one Zenith Proxy in each zone (ie, different hosting site) and provide access to each via a load balancer which supports the websocket and webservices protocols.
If you have an extremely large number of clients connecting, you can install multiple Zenith Proxies. You can even cascade Zenith Proxies to ensure that loads on backend plugins are not impacted by this scaling.
We have already written several back-end plugins to connect to exchanges. These include:
A backend plugin must maintain the complete picture of an exchange. When the backend plugin starts, it must subscribe to all relevant data from the exchange and keeps all the pictures updated. Historical data (eg. Course of Sales) is written to the PostgreSQL database.
Our back-end plugins are all designed to be able to be restarted during the day (can be necessary if, for example, an exchange needs to restart its services during the day). In order to make a restart as quick as possible, we also cache the entire picture (excluding commited historical data) in a local SQLite database. With this cache, we do not have to reload the entire data (for example, all the course of sales data). We can load the picture cached in the SQLite database and simply update it from the last message committed to this cache. Most exchanges have the capability to initiate a reload from a particular message number. For some exchanges like Chi-X (which we previously connected to before getting this data from Elektron), this is vital as this exchange feed works on first principles.
Also, by having the picture cached in SQLite, we can safely restart a backend plugin (or its server) on (say) the weekend when the exchange is offline and still be able to retrieve the exchange picture from the end of the previous trading day (in this case, normally Friday). Zenith Trading Agent back end plugin
The trading agent orchestrates the placement of orders and retrieves trading data from the OMS hub. Like a Feed Server, it will maintain a full picture of all OMS data. That is, it will subscribe to all accounts’ holdings and orders information and keep this ‘picture’ updated. When the Zenith Proxy receives an order request, it passes the request to the trading agent. The trading agent is responsible for organising the vetting of an order and then forwarding it to the OMS.
The first step of the trading agent is to collect all the data required to vet an order. Data can be required from multiple sources. These are:
Once the trading agent has collected all the required data, it sends a message to the “Vetting” Component containing the order request and the collected information. This component contains the algorithms for vetting. It will determine whether the order is acceptable or rejected and advises the Trading Agent accordingly. If it is accepted, the Trading Agent forwards the request to the OMS Hub which then further processes the order request. If it is rejected, it advises the proxy accordingly which responds back to the client which originally placed the request.