Sequitor Engineering, the simulation service provider for electronic financial markets, has formed a partnership with the London Stock Exchange Group (LSEG) to jointly offer its simulation services alongside LSEG’s PCAP (packet capture) data. This collaboration enables Sequitor’s clients to run highly realistic simulations using native wire-format market tick data, captured directly at LSEG’s exchange data centres and timestamped with nanosecond precision.
Co-founded in January 2019 by industry technologists Rolf Andersson and Pablo Landherr, Sequitor specialises in delivering high-fidelity simulations of trading venues through interconnected exchange replicas, which the company claims are indistinguishable from the real exchanges. Andersson, one of the original designers of the FIX FAST protocol, was previously CEO and co-founder of Pantor Engineering, the trading systems vendor whose IP was sold to Goldman Sachs in 2016.
Commenting on the LSEG partnership, Andersson tells TradingTech Insight: “Following its acquisition of MayStreet in 2022, LSEG now possesses one of the most comprehensive PCAP data sets in the world. They also offer an infrastructure and delivery system that provides efficient access to this data. At Sequitor, we reverse-engineer the PCAP data to recreate orders based on the output, which we then use as replay input for our simulations. Clients can interact with these simulations privately, maintaining full control over their activities.”
The partnership with LSEG marks the latest in a series of exchange collaborations for Sequitor. Earlier this year, the company announced a joint project to develop a digital twin of Deutsche Börse’s market model, including its functionality, interfaces, and protocols. Additionally, Sequitor secured an earlier agreement with Singapore Exchange (SGX) for the use of its simulation platform and services.
Sequitor’s Chief Product & Data Officer, Johannes Frey-Skött, explains some of the complexities involved in running digital twins of multiple exchanges: “When onboarding an exchange, we thoroughly analyse the detailed specifications to perform the necessary verification using granular, tick-level data. Then, on an ongoing basis, we make sure to stay informed about any exchange-driven changes. Considering the 15+ exchanges we currently support, that amounts to a significant volume of updates. Alongside these specification changes, we also monitor and analyse shifts in market behaviour, such as the frequency of trades in dark pools. We need this level of detail to ensure our product reflects the evolving models and varying liquidity types of the real markets and venues.”
The partnership between Sequitor and LSEG adds another dimension to the growing use of simulation technology in electronic financial markets. By integrating LSEG’s PCAP data with Sequitor’s simulation platform, clients can conduct more realistic market simulations that closely mirror the actual exchange environment. Looking ahead, there will no doubt be a greater emphasis on the use of simulations to better reflect the evolving dynamics of modern trading venues, particularly with the EU’s Digital Operational Resilience Act (DORA) due to go live January 2025.
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