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KX Flow Accelerator Data Ingestion

The KX Flow Accelerator contains preconfigured pipelines for subscribing to real time feeds from the KX Flow product on Azure deployments of KDB Insights.

KX Flow Quote Pipelines

Executable Streaming Prices (ESP) are ingested using the fxQuote and fxClientQuote pipelines. The fxQuote pipeline captures quote data streamed from each liquidity provider (Market Maker), while the fxClientQuote pipeline captures the client adjusted (using markups or otherwise) quote data streamed from a pool in KX Flow.

Request for Stream (RFS) pricing is also available to be streamed from the KX Flow Platform to kdb Insights for all Fx products - fxQuoteRequest pipeline subscribes to and stores the request which is made from the client out to the liquidity provider to request a streaming price. - fxQuoteReply pipeline subscribes to and stores the pricing responses from the Liquidity Provider to the client. - Similarly, fxQuoteRequestLegs and fxQuoteReplyLegs pipelines subscribe to the RFS Block pricing requests and pricing replies. KX Flow currently supports block trading using various Multi-Bank Portals.

KX Flow Order Pipelines

  • fxOrderRequest pipeline subscribes and captures the request to place an order made from the client out to the liquidity provider.
  • fxOrderReport pipeline subscribes and captures the execution report from the liquidity provider and the KX Flow generated client execution report.
  • In a similar way to the quote pipelines, there are also fxOrderRequestLegs and fxOrderReportLegs for block trading executions.

Reference Data Pipelines

The KX Flow Accelerator also contains pipelines that can be used to load reference data: - fxholidaycalendar pipeline reads a csv file from an s3 storage location and publishes the data to the ExchangeHolidayCal table. The pipeline was built expecting the following fields in the csv file

`srcSys` - a field to identify where the data originated from

`exchangeID` - name of the exchange

`date` - the holiday date

`description` - a description of the holiday

`isoCode` - country code of he exchange

  • fxrefinstrument pipeline reads a csv file from an s3 storage location and publishes the data to the Instrument table. The pipeline was built expecting the following fields in the csv file

    instrumentID - identifier of the instrument

    srcSys - a field to identify where the data originated from

    assetClass - which category the asset is part of. For example Forex, Equities, Fixed Income etc.

    description - description of the instrument or asset

    unitsOfMeasure - a description usually describing the currency symbol. For example "$" or for CFD units "1 CFD = 1 share"

    minorUnits - describing the number of decimal places for a currency. For example JPY is 0 (as Yen is always a whole number) or for USD minor units are 2 (for 01-99 cents)

    NOPGroup - similar to assetClass where we defined Forex for FX pairs and can specify Gold/Silver for the respective commodities

    quoteCcy - base currency of the FX pair

    spotDays - How many days from today the value of spot occurs. It is usually 2 (T+2) but there are some exceptions like USD/CAD which is 1 (T+1)

    tradeRollTime - the time at which the value date will roll

    decimalPoints - defines where the pip value lies. For example if this is set to 4, the rate will look like x.xxxY where 1 denotes where the 1 pip value lies

    spotPrecision - defines how many additional figures of precision are extended out after the decimal points for Spot requests. E.g. spotPrecision set to 0.1, the rate would be x.xxxxY

    forwardPrecision - similar to spotPrecision but for Forward requests

    crossAsset - This is the pair used to link the two assets within the pair to construct a cross price.