Gateways

In trading venues, gateways serve as critical components of the matching engine, managing the flow of information between traders and the exchange. There are two main types:

1. Order gateways, which receive and process order messages from trading participants.
2. Market data gateways, which publish real-time market data for participants.

Some matching engine architectures may allow both order and market data functions to be handled by the same gateway. Depending on the trading venue, gateways may also be assigned to handle specific sets of symbols, or they can be dedicated to individual trading participants. Dedicated gateways, like those provided by Currenex, offer lower latency and typically come with additional fees for participants, as this setup provides a competitive advantage by reducing the potential delays from shared infrastructure.

Gateways also play an important role in timestamping and fairness. For example, in CME Globex, timestamps are provided at multiple points: when the order is received (Tag 60 - TransactTime) and when market data is published (Tag 52 - SendingTime). This allows for more precise tracking of order flow and market data publication. However, not all venues provide such granular timestamps; for example, Nasdaq only offers a single timestamp, limiting transparency into the various steps in the process.

The arrangement of gateways can also affect fairness in trade execution. In cases where multiple participants share the same order gateway, one participant’s order may be delayed due to the gateway's load from processing another participant's order. This creates potential inequities in matching speed and execution, especially in high-frequency trading environments.