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Deutsche Börse’s T7: Insights into trading system dynamics | Eurex Exchange

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Designed in partnership with exchange participants, Deutsche Boerse’s T7 trading architecture aims to enhance performance across the board, including reduced latency and increased throughput. It’s a new generation of technology to deliver a world of opportunity.

► Visit our website: http://www.eurexchange.com
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Deutsche Börse’s T7: Insights into trading system dynamics | Eurex Exchange

  1. 1. Insights into trading system dynamics Deutsche Börse’s T7® September 2017
  2. 2. Agenda Overview Deutsche Börse Group 1
  3. 3. T7® Technology Roadmap Deutsche Börse Group 2 This initiative includes  Provision of a portfolio of interfaces that meet the needs of different user groups  High throughput and low latency of the trading system  Delivery of functionality the market demands with shortened lead time  Exceptional level of transparency & customer service Recent developments  Upgrade of the co-location network infrastructure (29 May 2017)  Introduction of the “first-in first-out” (FIFO) principle on high- frequency gateways (Release 5.0, 19 June 2017)  Migration of the Xetra® market to T7 (26 June and 3 July 2017) Outlook We will roll out T7 release 6 on 4 December 2017. The release will include the following  Functionality to meet the MiFID II regulatory requirements  Enable submission of good-till-date (GTD) and good-till- cancel (GTC) orders via high-frequency sessions  A new Selective Request for Quote Service  Introduction of partition specific gateways (details in this presentation) Deutsche Börse is pursuing its Technology Roadmap to deliver innovative and superior trading technology. For further details about T7 please visit our web sites: www.eurexchange.com/t7 and www.xetra.com/xetra-en/technology/t7
  4. 4. Deutsche Börse Group 3 Processed transactions and response times T7 Enhanced Trading Interface – round-trip times Deutsche Börse has continuously invested in its trading system and has been able to reduce the processing time of technical transactions significantly. Since the beginning of this year the median round-trip time has been reduced by 60 µs to below 75 µs and average daily round-trip is now below 180 µs. Note that numbers include cash market from 26 June 2017 onwards.
  5. 5. Deutsche Börse Group 4 Overview of T7  T7 consists of partitions. Here, a partition is a failure domain in charge of matching, persisting and producing market data for a subset of products. Each T7 partition is distributed over two rooms in the Equinix data centre.  There are 10 Eurex T7 partitions in charge of futures and options trading available on Eurex Exchange. Since launch of Xetra on T7 there are 10 Xetra T7 partitions serving the XETR market. A separate additional partition is used for each of EEX (XEEE), Vienna (XVIE) and Dublin (XDUB) markets.  There are 10 equity and 16 derivatives high-frequency gateways in the Equinix data centre shared by all Trading Participants of the respective markets.  The reference data contains the mapping of products to partition IDs.  With the introduction of partition specific (PS) gateways there will be a one to one mapping of active PS gateways to partitions. The default active PS gateways will be located on the same side as the active matching engines.  Note that the active half of a partition is either on side A (for even partitions) or on side B (for odd partitions).  Only in case of the failure of a matching engine or a market data publisher, the active half of the service will shift to the other room.
  6. 6. Deutsche Börse Group 5 Middleware, network, hardware and OS overview T7 uses state-of-the-art infrastructure components Intel Xeon E5-2667 v3 CPUs (Haswell) on all servers hosting core services (Matching engines, un-netted market data publishers, high-frequency gateways). Intel Xeon E5-2690 CPUs (Sandy Bridge) or E5-2683 v4 (Broadwell) on non-performance critical servers. The operating system used is Red Hat Linux 6.7 with real-time kernel on all core components. T7 internal communication between its core components is based on IBM WebSphere MQ Low Latency Messaging using an Infiniband network in order to deliver the required speed, capacity and stability requirements. T7 network access Deutsche Börse offers Trading Participants to connect via 10 GbE cross connects to its T7 platform in the Equinix data centre. The co-location 2.0 offering uses Cisco 3548x switches. All cables are normalized to give an overall maximum deviation between any two cross connects of less then +/- 1 m (+/- 5 ns). Participant facing interface cards on the gateways and market data publishers use Solarflare EnterpriseOnload technology to bypass the kernel TCP stack.
  7. 7. Orders/quotes – optimal access Deutsche Börse Group 6 Daily statistics about private “last mile” performance between the high-frequency gateways and Participant servers as well as best in class numbers (per location and system wide) are provided within the member portal (member.deutsche-boerse.com). We expect that a good daily average TCP/IP round-trip will be less than 6 µs for 10 GbE connections in co-location 2.0. The network latency can be further examined by comparing the provided RequestTime (t_3n) and SendingTime (t_9) with timestamps taken at the customer installation. Note that using 10 Mbps connections (built on 1 GbE cross connects) to connect to T7 low-frequency or high-frequency gateways results in an additional latency of about 50 µs (round-trip) compared to the 10 GbE access to high-frequency gateways . Using 10 GbE cross connects in co-location 2.0 offering for the access to the high-frequency ETI gateways in the Equinix facility provides the fastest way for order and quote management in T7. The T7 gateways duties include all validations that do not need the knowledge of the order book or market state. The static network latency differences between different gateway to matcher links is 2 µs maximum. To achieve lowest possible latency, it is recommended to use the short order layout if possible - this saves about 8 µs gateway processing time on the way in compared to “normal” lean orders.
  8. 8. Deutsche Börse Group 7 Processing inside a partition In case that during this phase several new orders/quotes transactions arrive at the core matching component the processing remains unchanged, i.e. no batching takes place. The generation of market data other than EOBI (by the market data publisher), listener broadcasts and trade confirmations (by the persistency server) are done on separate servers. Hence the order of the resulting messages from these servers is not deterministic. T7 Partition t_8 Market data publisher (EMDI) Market data publisher (EOBI) Core matching Persistency Layer: Trade/Order Confirmation Orders/quotes entered for a specific product are sent by the gateway server to the respective matching engine (residing in a partition). The matching priority is assigned when the orders/quotes are read into the matching engine. The core matching component works as follows:  when an order/quote arrives, it is functionally processed (e.g. put in the book or matched).  handover of data to the EOBI Market data publisher  handover of all data resulting from the (atomic) processing of the incoming order/quote to the market data and persistency components in the partition. Resulting responses and private broadcasts are sent out in the following order:  direct response to the order/quote entered (for persistent as well as for non- persistent orders and quotes)  fast execution information for booked orders/quotes (in case of a match)
  9. 9. Agenda Network Access – Co-location 2.0 Deutsche Börse Group 8
  10. 10. Co-location 2.0 Co-location 2.0 is an improved 10GbE connectivity introduced in parallel to the existing 10GbE network (Co-Location 1.0). Reduced complexity Fewer customer facing switches Customers may reach any switch from any data-center room Passive components in customer rooms, i.e. cables and patch panels only Increased predictability Reduced latency variance Hardware refresh of switches (Cisco Nexus 3548x) Switches operate in cut-through mode, configured to use “Warp mode” to minimize latency Switches exhibit very low switch jitter within the precision of measurement devices (+/- 4 ns), both for ETI and market data Equidistant cables with a tolerance of +/- 1m verified using an optical time-domain reflectometer (OTDR) and packet round-trip measurements Reduced latency One way latency improvement of 2.3 µs compared to co-location 1.0 Improved monitoring Tapping and timestamping at network boundary and internally Deutsche Börse Group 9 Overview
  11. 11. Co-location 2.0  2 switches per gateway room per market (‘distribution layer’, only one market shown)  Eurex®: 8 centrally located switches (‘access layer’, 4 per side, A and B)  Xetra®: 4 centrally located switches (2 per side, A and B, not shown below)  Customers can connect to any access layer switch from any of the 7 co-located rooms  There is a separate Market Data network with same layout Deutsche Börse Group 10 Network topology C C C C C C C C C C C C C C C C C C C C C C C C C C C C C C C C CC C C C C C C Customer room 1 Customer room 3Customer room 2 Customer room 4 Customer room 5 Customer room 6 C C GW A 1 GW A n Side A GW B 1 GW B n Side B C C C C C C Customer room 7 C
  12. 12. We are constantly measuring the latency profile of our co-location infrastructure using taps and aggregation switches that use hardware assisted timestamping on ingress port. Extra care has been taken to ensure the time synchronization between these timestamping devices using a combination of white rabbit, pps and ptp. With this we achieve a time synch better than 10 ns. The latency profiles between the three measurement points is shown below. Latency between access layer and distribution layer is identical for all access layer switches within the measurement precision. Co-location 2.0 Access layer switch latency Deutsche Börse Group 11 Latency profile Access to distribution layer latency GW A 1 GW A n Access layer Distribution layer
  13. 13. Agenda Inbound Latency Deutsche Börse Group 12
  14. 14. Deutsche Börse Group 13 Inbound message sequencing Inbound sequencing inside the T7 system takes place  on the network in front of the trading gateways,  in the gateway for messages of all sessions connected routed to one matching engine,  in the matcher for messages of all sessions. Inbound ordering is preserved  within the messages of a session routed to one matching engine (=partition),  between the messages sent from one gateway to one matching engine (=partition). Matcher Gateway N Gateway 1 Aa B Session A Session B Aa B C Session E E Session C CD Sequencing point Ba A CDE S S Sequencer Switch ED Core matchingSession D CED A Ba EOBI 2 EOBI 1 timestamp
  15. 15. Inbound latency spectrum Deutsche Börse Group 14 Orders/quotes – inbound latency profile The top graphs on the left show the latency distribution of the three parts of our trading infrastructure which an order/quote traverses before time-priority is assigned. The three parts are: gateway network interface card (NIC) to gateway application start (t_3n to t_3), gateway application space processing (t_3 to t_3’), gateway-out to matching engine-in (t_3’ to t_5). Graphs show all transactions sent to high-frequency gateways on 29 Aug 2017. The top right graph shows the systematic latency difference in the internal network when traversing sides from gateway to matching engine of ~1.3 µs. The bottom graph shows the aggregate inbound latency from the gateway NIC to the matching engine in. The gateway processing part is the most relevant for the total variance on the inbound path of a transaction. The median inbound latency has been reduced by 10 µs since the last update of this presentation in March 2017 (Eurex only). NIC to gateway app (t_3 to t_3n) Gateway processing (t_3’ – t_3) Gateway to matcher (t_5 – t_3n) NIC to matching engine (t_5 – t_3n)
  16. 16. Inbound latency spectrum Inbound latency variance has three main sources:  Statistical effects (always present)  Queuing / overloading effects (e.g. ‘microbursts’, input rate > processing rate)  Data dependent latency differences (e.g. mass quotes requests with 100 quote pairs versus a single quote pair) The below graphs show inbound latency distributions (t_5 - t_3n) for messages processed by high-frequency gateways for the Eurex market. Deutsche Börse Group 15 Orders/quotes – Eurex inbound latency variance * Free transactions are defined as those whose predecessor has been consumed by the matching engine when the transaction arrived at the gateway
  17. 17. Inbound latency spectrum The inbound latency is slightly higher for Xetra than for Eurex as there are more checks done on the gateway. The below graphs show inbound latency distributions (t_5 - t_3n) for messages processed by high-frequency gateways for the Xetra market. Deutsche Börse Group 16 Orders/quotes – Xetra inbound latency variance
  18. 18. Inbound latency spectrum Deutsche Börse Group 17 Orders – inbound latency variance implications The matching sequence may be different from the incoming sequence due to the statistical distribution of the inbound latencies. The graph below shows the ‘theoretically expected’ probability of re-ordering of two consecutive transactions compared to the actual observed reordering between the most competitive transaction types. Overtaking is not possible within a high-frequency gateway as it operates in first-in first-out (FIFO) mode. For Xetra the median inbound latencies are slightly higher ( 26.1 µs for NewOrderShort and 23.3 µs for Order Delete requests), while the confidence intervals are smaller at 5 µs and 4.7 µs respectively (10 to 90 percentile). Inbound latency of free orders by type (Eurex) Percentiles Order Delete NIC to ME (t_5 - t_3n) NIC to GW (t_3 - t_3n) GW (t_3' - t_3) GW to ME (t_5 - t_3') 10% 18.4 2.3 8.2 6.8 25% 19.8 2.4 9.3 7.5 50% 21.3 2.5 10.4 8.4 75% 22.8 2.7 11.5 9.0 90% 24.2 2.9 12.5 9.5 Confidence intervals 25-75% 3.0 0.2 2.2 1.5 10-90% 5.9 0.5 4.3 2.7 Percentiles NewOrderShort NIC to ME (t_5 - t_3n) NIC to GW (t_3 - t_3n) GW (t_3' - t_3) GW to ME (t_5 - t_3') 10% 21.0 2.3 10.6 7.0 25% 22.8 2.4 12.1 7.7 50% 24.8 2.5 13.8 8.5 75% 26.6 2.6 15.2 9.1 90% 28.3 2.8 16.5 9.6 Confidence intervals 25-75% 3.8 0.2 3.1 1.3 10-90% 7.3 0.5 5.9 2.6
  19. 19. Inbound latency spectrum Deutsche Börse Group 18 Orders/quotes – latency variance for inbound transactions Inbound latency spectrum for the fastest order transaction The graph top left shows the “free”, i.e. un-queued, inbound latency (t_5 - t_3n) spectrum for the fastest NewOrderSingleShort request in case a Participant sends several functionally identical transactions simultaneously via 1, 2, 4, 8 and 16 different high-frequency gateways. The statistical gain comparing the inbound latency of 1 against the fastest of a swarm of 16 requests is ~4 µs. The graph bottom left shows the respective cumulated probability for the fastest request. Since the introduction of the FIFO processing on high frequency gateways with T7 release 5 there is no incentive to send more than one identical transaction to a single gateway. As a reaction we have noticed a significant drop in multiplicity.
  20. 20. Agenda Partition Specific Gateway Deutsche Börse Group 19
  21. 21. Partition Specific Gateway Latency jitter on parallel inbound paths has incentivized multiplicity to reduce latency. This lead to higher system load at busy times and thus created higher, less predictable latencies. The introduction of a single (low-latency) point of entry will address these issues. Increased predictability Each partition will have only one partition specific (PS) gateway assigned to it. This gateway operates in first-in first-out (FIFO) mode. Thus the reception sequence of the PS gateway will determine the sequence of matching (based on the timestamp of the first bit of the frame that completes a ETI message). Co-location 2.0 offers a highly deterministic, predictable and equal network access. Reduced complexity There will be only one low latency entry point per partition. There is no need to probe multiple gateways to achieve best matching priority. All partitions will stay accessible via the low frequency gateways. Reduced latency The PS Gateway will be tuned for highest throughput and will offer a lower base latency than the current high-frequency gateways. Deutsche Börse Group 20 Motivation
  22. 22. Partition Specific Gateway The active partition specific gateway will reside on the same side as the active matching engine per default. There will be a network link between side A and B via the distribution layer switches with a latency of more than 50 µs. This guarantees that all partition specific gateways are reachable via a single line in case of a failure. Note that PS Gateways will be available only for Xetra and Eurex markets, whereas EEX, Xetra Vienna and Xetra Dublin will offer access via low-frequency gateways only. Deutsche Börse Group 21 Topology Standby PS 1 Matcher 1 Active PS 2 Active PS 4 Active PS 8 Standby PS 3 Standby PS 5 Active PS 6 Standby PS 7 Matcher 2 Active PS 1 Standby PS 2 Standby PS 4 Standby PS 8 Active PS 3 Active PS 5 Standby PS 6 Active PS 7 C C C C C C C C C C C C C C C C C C C C C C C C C C C C C C C C CC Side A Side B C C C C C C C C C C C C CC Customer Room 1 Customer Room 3 Customer Room 2 Customer Room 4 Customer Room 5 Customer Room 6 Customer Room 7 C Matcher 3 Matcher 4 Matcher 5 Matcher 6 Matcher 7 Matcher 8 Matcher 9 Matcher 10 Matcher (Non PS enabled) LF 1 LF 2 Standby PS 9 Active PS 9 Standby PS 10Active PS 10 >50µs
  23. 23. Partition Specific Gateway The partition specific gateway uses the same ETI protocol as the existing ETI gateways (low-frequency and high-frequency). It will offer the same functionality as the high-frequency gateways, but only for a single partition. Session setup All high-frequency sessions will be eligible to connect to a partition specific gateway. A session may only connect to a single gateway at any given point in time. There will be a maximum number of sessions per participant allowed to login to a single PS gateway at any given point in time. Connection The connection process follows the three-step logon procedure, with a Connection Gateway Request message to retrieve the assigned active and standby PS gateway from the connection gateway, followed by a Session Logon at the PS gateway. The initial Connection Gateway Request message has to contain the target partition ID. You may send a session logon to the standby PS gateway to test network connectivity. Those logons will be rejected with the appropriate error code (refer to the respective ETI manual for details). Deutsche Börse Group 22 Implementation
  24. 24. Partition Specific Gateway The partition specific gateways will be introduced in a stepwise approach: Step 1 – parallel setup of a futures partition December 2017: The first PS gateway will be enabled for Eurex partition 4 (hosting FGBM and FDXM) in parallel to the existing high frequency gateways. Step 2 – PS Gateway only for a futures partition January 2018: access to partition 4 via high frequency gateways will be cut off. Step 3 – parallel setup of an options partition January 2018: A PS gateway will be enabled for Eurex partition 9 (hosting options) in parallel to the existing high frequency gateways in (a week after step 2). Step 4 – PS Gateway only for an options partition January 2018: access to partition 4 via high frequency gateways will be cut off. Step 5/6 – PS Gateway only for the remaining Eurex partitions February 2018: PS gateway only access will be enabled for all other Eurex partitions The migration schedule for Xetra is not fixed yet, but a similar approach will be implemented in the first half of 2018. The final and detailed migration schedule will be published via implementation news. Note: EEX and Xetra Vienna and Dublin will not adopt the PS Gateway concept. Deutsche Börse Group 23 Migration
  25. 25. Partition Specific Gateway When a failure of a partition specific gateway is detected all sessions logged in via that gateway will be logged out and their orders and quotes deleted. Subsequently the standby PS gateway will be activated and allow session logins. A connection request should be sent to the Connection Gateway. The response will indicate the active PS gateway and the session can then login to this PS gateway. There will be an activation phase during which no order management via the activated PS gateway will be possible. This is currently foreseen to be 60 seconds to allow participants some time to evaluate the situation and re-login. After the activation phase an ETI ServiceAvailability broadcast will be sent to the connected sessions and order management service will be available. Schematic partition specific gateway failover Deutsche Börse Group 24 Failover Active PS Gateway Standby PS Gateway Failed PS Gateway Standby PS Gateway Activated PS Gateway Failed PS Gateway Active PS Gateway Failed PS Gateway Normal operation Active gateway fails Standby activated Failover completed < 20 sec 60 sec
  26. 26. Throttle and session limits In order to protect its trading system, T7 has several measures in place to ensure that its most vital components are not harmed by a malfunctioning client application. Therefore transaction limits are imposed on T7 sessions. All ETI sessions (HF and LF) are available with throttle values of 150 messages/sec or 50 messages/sec. Furthermore LF sessions that cannot enter orders/quotes but can only receive trade and listener broadcasts are avaivable (at a reduced price). All ETI session types have an assigned disconnect limit of  450 for sessions with a throttle value of 150 messages/sec, i.e. a session will be disconnected in case of more than 450 consecutive rejects due to exceeding the transaction limit (throttle).  150 for sessions with a throttle value of 50 messages/sec, i.e. a session will be disconnected in case of more than 150 consecutive rejects due to exceeding the transaction limit (throttle). Please note that in case the disaster recover facility is used, all ETI sessions will have a throttle limit of 30 messages per second. For both limits, all technical transactions are counted using a sliding window. The number of ETI sessions which can be ordered is limited. Currently, up to 80 sessions can be ordered. If more than 80 sessions are required please get in touch with your Technical Key Account Manager. There will be a limit on maximum number of sessions per participant and partition that can connect to a partition specific gateway concurrently. This limit is currently assumed to be 80 sessions but subject to review. Deutsche Börse Group 25
  27. 27. Agenda Trading system dynamics – inside the matching engine Deutsche Börse Group 26
  28. 28. T7® topology Deutsche Börse Group 27 Matching engine:  order book maintenance & execution  creation of direct responses as well as execution messages for passive orders/quotes  creation of EOBI order book messages  creation of EOBI order book snapshot messages Persistency:  persistent order storage  trade/execution history  transaction history for standard orders  creation of listener broadcast for standard orders Market Data (EMDI):  creation of order book delta messages  creation of order book snapshot messages PTP based synchronization of clocks using hardware support is used for high-frequency gateways, matching engines and market data servers in production (and also in simulation). Hence time stamps on these servers can be used to analyze one way transport times. T7 PartitionParticipant Gateway EMDI t_8 Market data publisher (EMDI) Market data publisher (EOBI) EOBI Core matching ETIt_1 t_2 t_3n t_3’ t_5 t_7t_9 t_8 t_11 t_10 t_6 t_4’t_4 t_3 Persistency Layer Retransmit Requests Trade/Order Notifications
  29. 29. Trading system dynamics Deutsche Börse Group 28 Matching engine and market data performance Matching dynamics Eurex partition 6 (20 Sep 2017) During micro-bursts, the input into the matching engine may be greater than the throughput capabilities. This in turn causes queuing which results in higher latencies. Higher latencies cause risk (i.e. it takes longer to place/pull an order). T7 provides real-time insight in the matching engine and market data performance. It publishes the sending time of a EOBI packet as it leaves the matching engine (t_9) as well as the matching engine in time (t_5). T7 publishes the performance indicator (t_8-t_5) explicitly in the EMDI UDP packet header. The Gantt chart on the left shows the paths  Matching engine in (t_5) to  Start matching (t_7) to  EOBI SendingTime (t_9) [where available] to  Matching engine out (t_6) to  ETI SendingTime (t_4) Typical throughput rates are 650 / ms at t_5, 200 / ms at t_7 and 220 / ms at t_6. EOBI send times are now usually well before the matching engine send time of responses.
  30. 30. Orders/quotes – detailed performance data For the top 15 futures products, daily statistics about the matching engine processing times as well as Eurex Enhanced Transaction Interface gateway processing times are provided via the ‘Member Section’ on Eurex Exchange’s website. The ETI round-trip times are calculated based on t_4 – t_3 (gateway SendingTime – gateway application start). Since introduction of FIFO Gateways reduced multiplicity has resulted in lower average matching engine processing times. The table below additionally contains latency figures for DAX equities for reference. Deutsche Börse Group 29 Our transparency Product Product Average Median 99th percent Average Median 99th percent Average Median 99th percent EURO STOXX 50® Index Futures FESX 104 27 900 192 85 1320 190 84 1500 STOXX® Europe 50 Index Futures FSTX 43 24 600 144 81 1100 142 76 1500 DAX® Futures FDAX 57 25 435 151 81 960 150 80 1000 Mini-DAX® Futures FDXM 46 27 306 129 83 640 131 86 750 MDAX® Futures F2MX 40 24 484 118 76 940 118 78 1000 SMI® Futures FSMI 36 23 246 111 76 520 111 78 750 Euro-Bund Futures FGBL 127 29 1060 200 91 1240 203 88 1500 Euro-Bobl Futures FGBM 90 26 840 176 104 1060 167 86 1250 Euro-Schatz Futures FGBS 62 23 700 154 109 900 138 78 1000 Euro-Buxl® Futures FGBX 66 28 520 131 81 720 134 82 750 Long-Term Euro-BTP Futures FBTP 71 31 493 139 90 660 140 90 750 Euro-OAT Futures FOAT 53 27 423 122 84 600 122 84 750 EURO STOXX® Banks Futures FESB 53 25 640 132 74 1120 133 76 1250 VSTOXX® Futures FVS 44 26 467 138 89 920 125 82 1250 STOXX® Europe 600 Index Futures FXXP 49 24 640 130 74 1140 133 76 1250 DAX® Equities 24 20 92 115 76 1000 116 80 750 Matching engine Round-trip times (in µs) Enhanced Trading Interface Round-trip times (all GWs, t_4 - t_3 in µs) Enhanced Trading Interface Round-trip times (HF GWs, t_4 - t_3n in µs)
  31. 31. Agenda Trading system dynamics – market data Deutsche Börse Group 30
  32. 32. Trading system dynamics Deutsche Börse Group 31 Latency characteristics of EOBI versus ETI EOBI vs ETI (Eurex Futures) T7 is designed to publish order book updates first on its public data feed. The top diagram shows the time difference distribution between public and private data for Eurex futures (EOBI first datagram vs ETI responses, t_9-t_4), the graph below shows the same for Xetra DAX equities. The data is a production sample from 29 August 2017. EOBI update is usually at least 30 µs faster than the private response for order book updates and at least 45 µs faster for executions. The first EOBI datagram was faster in approximately 99.9 percent of the cases compared to the ETI response and also the first passive ETI book order notification (not shown). EOBI vs ETI (Xetra DAX equities)
  33. 33. Trading system dynamics Deutsche Börse Group 32 Latency characteristics of EOBI versus EMDI Latency characteristics of EMDI versus EOBI After the integration of the EOBI publisher into the matching engine the market data updates provided via EOBI is almost always faster than EMDI. The top diagram shows the distribution of t_9 minus t_8, i.e. EOBI first datagram versus EMDI sending time, the bottom diagram shows the cumulative distribution. The graphs show data of EURO STOXX 50® Index Futures (FESX) after hardware upgrade and move of the EOBI disseminator into the matching engine (29 August 2017). This move reduced the median latency by more than 30 µs for EOBI messages. EOBI was faster in more than 99.98 percent of the cases with trades involved and in 99.96 percent of order book updates without trades. A very similar latency characteristic applies to the T7 Cash Market.
  34. 34. Trading system dynamics Deutsche Börse Group 33 Latency characteristics of ETI versus EOBI versus EMDI Outbound latency for FESX trades (29 Aug 2017) This diagram displays the dependency of the median latency on the complexity of a trade for ETI (t_4-t_7), EMDI (t_8-t_7) and EOBI (t_9-t_7). Note that for ETI we display the gateway sending time of the first passive notification and for EOBI the sending time of the UDP datagram containing the Execution Summary message. In about 99.95% of all trades, we disseminate order book data on EOBI first (even true for larger trades). The merge of EOBI with the matching engine (since 13 March 2017) reduced the latency of EOBI significantly.
  35. 35. Market data distribution Deutsche Börse Group 34 Latency difference of primary and secondary feed EMDI EOBI Please note that for products assigned to an even partition, market data is published first on the A stream and then on the B stream whereas, for products assigned to an odd partition market data is published first on the B stream and then on the A stream. The partition ID / product ID is contained in the UDP datagram header of the order book incremental messages and can be used for filtering on UDP datagram level for EMDI / EOBI. Furthermore, a UDP datagram on the T7 EMDI / EOBI order book delta or snapshot channel will only contain data of exactly one product (e.g. EURO STOXX 50® Index Futures). The median latency difference between the A and the B incremental feed is about 8.4 µs for EMDI (see top diagram to the left) and 2.3 µs for EOBI (see bottom diagram to the left). T7 provides a csv file on a daily basis with the minute-by-minute network latency (minimum, average, maximum 99 per cent) for the A and B streams of EMDI for non co-location access points. This information can help you determine whether you or T7 had an issue causing a market data delay. The file is provided in the member portal (member.deutsche-boerse.com).
  36. 36. Eurex: Market data volume Deutsche Börse Group 35 Eurex EMDI Eurex EOBI Each data point equals the maximum bandwidth produced on a 1 millisecond scale by the incremental B stream in Mbps. The provided data shows one data point per minute for 29 Aug 2017. Eurex market data peak data volume can be a significantly higher on high volume trading days. Hence Participants that want to receive data for all Eurex Exchange’s products or US only products with less than 1 ms queuing delays need to use a connection with a bandwidth of more than 1,000 Mbps (all products) or 300 Mbps (for U.S. only products), respectively. Enhanced Order Book Interface market data is currently only available to Trading Participants using 10 GbE connections. Trading Participant are advised to take two cross connects (one for each market data stream) in co-location to receive market data. Latency sensitive Trading Participants are advised to use two 10 GbE connections (one for each market data stream) in co- location to receive market data.
  37. 37. Xetra: Market data volume Deutsche Börse Group 36 Xetra EMDI Xetra EOBI Each data point equals the maximum bandwidth produced on a 1 millisecond scale by the incremental B stream in Mbps. The provided data shows one data point per minute for 29 Aug 2017. Xetra Market Data peak data volume can be a significantly higher on high volume trading days. Hence Participants that want to receive data with less than 1 ms queuing delays need to use a connection with a bandwidth of more than 500 Mbps (EMDI, All products) or 300 Mbps (EMDI, DAX® equities only). Enhanced Order Book Interface market data is currently only available to Trading Participants using 10 GbE connections. Trading Participant are advised to take two cross connects (one for each market data stream) in co-location to receive market data. Latency sensitive Trading Participants are advised to use two 10 GbE connections (one for each market data stream) in co- location to receive market data.
  38. 38. Agenda What you need to be fast Deutsche Börse Group 37
  39. 39. What you need to be fast… A few recommendations to achieve the lowest possible latency: Use the Equinix co-location facility to be close to Deutsche Börse T7. Use state-of-the-art switches (if any) and only have at most one hop between the exchange network and your server. Use good network interface cards and TCP/IP acceleration, e.g. a Linux kernel-by-pass library. Use two 10 GbE (cross-) connections in co-location 2.0 for EMDI or EOBI market data and two 10 GbE (cross-) connections for T7 ETI. Try the two different high-frequency gateways assigned to each ETI session to see which delivers the better performance for your strategy (try it out and compare your time stamps as well as P&L for different days). Measure and analyze your own time stamps (e.g. the reaction time as recommended on the next slide). Use state of the art time synchronization, e.g. by the exchange provided time service to synch your clocks with ours via PTP. Trade notifications need to be processed to create safety (only the trade notifications contain legally binding information about a trade!). Therefore, we recommend to use either a low-frequency ETI session or a FIX trade capture drop copy to confirm the fast execution information provided by the execution reports via high-frequency sessions*. Try to use the EOBI Execution Summary for fast trading decisions and position keeping (passive executions). For a consistent order book, all incremental updates following the Execution Summary should always be processed. Deutsche Börse Group 38
  40. 40. What you need to be fast… Deutsche Börse Group 39 Participant reaction time measurement T7 PartitionParticipant Gateway EMDI t_8 Market data publisher (EMDI) Market data publisher (EOBI) EOBI Core matching ETIt_1 t_2 t_3n t_3’ t_5 t_7 t_9 t_8 t_11 t_10 t_6 t_4’t_4 t_3 Measure the time between market data reception (t_10/t_11) and your reaction (t_1), take note of aggressor in timestamps (t_3n) of executions.
  41. 41. Agenda Appendix Deutsche Börse Group 40
  42. 42. Enhanced Order Book Interface Exceptions to fast trading decisions based on the Execution Summary The Execution Summary at the beginning of an EOBI packet can be used for fast trading decisions (and passive position keeping) in the majority of cases. However there are certain scenarios where this may lead to a wrong perception of the order book on client side. This includes cases where: The Request-In timestamp is not set: This is for example in case of more than one market order being triggered by an incoming order/quote. In such a scenario, there will be one Execution Summary sent for each market order. The Execution Summary for the first market order will be at the beginning of the packet but the Execution Summaries for the other market orders will follow in the same or in the next packet(s) before CompletionIndicator is set to 1. The Implied flag is set: In case of synthetic matching, the LastQty shows the total matched quantity that result from all involved instruments‘ order books. At the same time only the instrument of the aggressing order is given. In order to have correct order books, Participants have to process all incremental updates following the Execution Summary. There is a potential shortcut in this case which is explained on the next two slides. In equity markets the execution of hidden quantity of Iceberg orders is not reflected in the hiddenQty field of the EOBI Execution summary. Deutsche Börse Group 41
  43. 43. Enhanced Order Book Interface Fast trading decision in case of synthetic matching (derivatives markets only) In case of synthetic matching (TradeCondition in the Execution Summary set to ‚Implied Trade‘), Participants only interested in the front month instrument will also have to read all details that follow the Execution Summary. However, we see that not each combination of instruments is traded with the same frequency (even during a roll when, on average, more synthetic matches take place). In our benchmark futures, we see that there are three highly liquid and three less liquid instruments. The front month, the second maturity and the spread between the two are defined as the liquid instruments, the third maturity and combinations thereof are considered as less liquid. A possible shortcut which can speed up the decision-making process is available to Participants that base their trading decisions primarily on the Execution Summary. These Participants could potentially save processing time by considering the order books of the three most liquid instruments only. Deutsche Börse Group 42
  44. 44. Enhanced Order Book Interface Fast trading decision in case of synthetic matching (cont.) If the instrument in the Execution Summary belongs to one of the three liquid instruments and the TradeCondition field is set to ‚Implied Trade‘, Participants can apply the following logic to infer the order books for these liquid instruments:  Check price (‚LastPx‘), total quantity (‚LastQty‘) and side (‚AggressorSide‘) in the Execution Summary.  Delete orders in the incoming instrument‘s order book which have a better price than ‚LastPx‘.  Check whether a combination of orders in the two other liquid books yields a better price than ‚LastPx‘. If true, delete the orders contributing to these combinations from the respective order books.  Calculate the remaining quantity (‚LastQty‘ minus already deleted quantities). If possible, remove this quantity from the incoming instrument‘s order book at ‚LastPx‘. If there is not enough quantity available then try to delete the still remaining quantity from the synthetic order book combination at ‚LastPx‘.  In case the total deleted quantities from the incoming instrument‘s order book and the combined synthetic order book do not add up to the ‚LastQty‘ it can be concluded that the order book is not correct afterwards. Our data show that in over 99.7% of the trade cases, it is possible to build a correct order book by using this shortcut. Please note that for a consistent order book, Participants should always process all incremental updates following the Execution Summary. Deutsche Börse Group 43
  45. 45. T7® timestamps Deutsche Börse Group 44 T7 PartitionParticipant Gateway EMDI t_8 Market data publisher (EMDI) Market data publisher (EOBI) EOBI Core matching ETIt_1 t_2 t_3n t_3’ t_5 t_7 t_9 t_8 t_11 t_10 t_6 t_4’t_4 t_3
  46. 46. Description of time stamps t_1,t_2: can be taken by a Participant (e.g. via a network capture) when a request/ response is read from/written to the socket. t_4: taken by the ETI gateway when a response/ notification is written to the socket on the Participant´s side of the gateway; contained in (private) ETI response/ notification. t_3n: taken by the ETI gateway when the first bit of a request arrives on the HF gateway NIC; contained in (private) ETI response for transactions sent via HF gateways. t_3: taken by the ETI gateway application when a request is read from the socket on the Participant´s side of the gateway; contained in (private) ETI response for transactions sent via LF gateways. t_3’: taken by the ETI gateway right before a request is sent towards the matching engine; contained in (private) ETI response. t_4’: taken by the ETI gateway when a response/ notification is received by the ETI gateway from the matching engine; contained in (private) ETI response/ notification. t_5, t_6: taken by the matching engine when a request/response is read/written; contained in (private) ETI response. t_7: time at which the matching engine maintains the order book t_8: time taken by EMDI publisher just before the first respective UDP datagram is written to the UDP socket. t_9: time taken by EOBI publisher just before the first respective UDP datagram is written to the UDP socket. t_10, t_11: can be taken by a Participant (e.g. via a network capture) when a UDP datagram is read from the UDP socket. Deutsche Börse Group 45 Definition
  47. 47. T7 time stamp reference The time stamps t_3,…,t_9 are available via the following fields: t_3, t_3n: Tag 5979 (“RequestTime”) in the T7 ETI Response in the T7 EMDI Depth Incremental message, in case a trade is reported in the T7 EOBI Execution Summary message t_3’: Tag 7764 (“RequestOut”) in the T7 ETI Response (from the matching engine) t_4’: Tag 7765 (“ResponseIn”) in the T7 ETI Response (from the matching engine) Tag 25043 (“NotificationIn”) in the T7 ETI Notification (from the matching engine) t_4: Tag 52 (“SendingTime”) in the T7 ETI Response and Notification t_5: Tag 21002 (“TrdRegTSTimeIn“) in the T7 ETI Response (from the matching engine) Tag 21002 (“TrdRegTSTimeIn”) in the T7 EOBI Order Add, Order Modify, Order Modify Same Priority and Order Delete messages Tag 28820 (“AggressorTimestamp“) in the T7 EMDI Depth Incremental message, in case a trade is reported Tag 28820 (“AggressorTimestamp“) in the T7 EOBI Execution Summary message t_6: Tag 21003 (“TrdRegTSTimeOut“) in the T7 ETI Response and Notification (from the matching engine) t_7: Tag 17 (“ExecID“) in the T7 ETI Response (from the matching engine) in the T7 EOBI Execution Summary message Tag 273 (“MDEntryTime”) in the T7 EMDI Depth Incremental message Tag 21008 (“TrdRegTSTimePriority”) in the T7 EOBI Order Add and Order Modify messages Tag 60 (“TransactTime”) in the T7 EOBI Order Modify Same Priority and Order Delete messages t_8: no Tag (“SendingTime”) in the T7 EMDI UDP packet header t_9: Tag 60 (“TransactTime”) in the T7 EOBI packet header (t_8-t_5): no Tag (“PerformanceIndicator“) in the T7 EMDI UDP packet header of the T7 EMDI Depth Incremental stream. Notes on time stamps: All time stamps provided are 8 byte integers (in nanoseconds after Unix epoch). The PerformanceIndicator is a 4 byte integer (in nanoseconds as well). Deutsche Börse Group 46
  48. 48. Thank you for your attention Contact Name Sebastian Neusüß, Andreas Lohr E-Mail monitoring@deutsche-boerse.com For updates refer to http://www.eurexchange.com/exchange-en/technology/high-frequency_trading
  49. 49. 48 © Deutsche Börse 2017 Deutsche Börse AG (DBAG), Clearstream Banking AG (Clearstream), Eurex Frankfurt AG, Eurex Clearing AG (Eurex Clearing) as well as Eurex Bonds GmbH (Eurex Bonds) and Eurex Repo GmbH (Eurex Repo) are corporate entities and are registered under German law. Eurex Zürich AG is a corporate entity and is registered under Swiss law. Clearstream Banking S.A. is a corporate entity and is registered under Luxembourg law. U.S. Exchange Holdings, Inc. is a corporate entity and is registered under U.S. American law. Deutsche Boerse Asia Holding Pte. Ltd., Eurex Clearing Asia Pte. Ltd. and Eurex Exchange Asia Pte. Ltd are corporate entities and are registered under Singapore law. Eurex Frankfurt AG (Eurex) is the administrating and operating institution of Eurex Deutschland. Eurex Deutschland and Eurex Zürich AG are in the following referred to as the “Eurex Exchanges”. All intellectual property, proprietary and other rights and interests in this publication and the subject matter hereof (other than certain trademarks and service marks listed below) are owned by DBAG and its affiliates and subsidiaries including, without limitation, all patent, registered design, copyright, trademark and service mark rights. While reasonable care has been taken in the preparation of this publication to provide details that are accurate and not misleading at the time of publication DBAG, Clearstream, Eurex, Eurex Clearing, Eurex Bonds, Eurex Repo as well as the Eurex Exchanges and their respective servants and agents (a) do not make any representations or warranties regarding the information contained herein, whether express or implied, including without limitation any implied warranty of merchantability or fitness for a particular purpose or any warranty with respect to the accuracy, correctness, quality, completeness or timeliness of such information, and (b) shall not be responsible or liable for any third party’s use of any information contained herein under any circumstances, including, without limitation, in connection with actual trading or otherwise or for any errors or omissions contained in this publication. This publication is published for information purposes only and shall not constitute investment advice respectively does not constitute an offer, solicitation or recommendation to acquire or dispose of any investment or to engage in any other transaction. This publication is not intended for solicitation purposes but only for use as general information. All descriptions, examples and calculations contained in this publication are for illustrative purposes only. Eurex and Eurex Clearing offer services directly to members of the Eurex exchanges respectively to clearing members of Eurex Clearing. Those who desire to trade any products available on the Eurex market or who desire to offer and sell any such products to others or who desire to possess a clearing license of Eurex Clearing in order to participate in the clearing process provided by Eurex Clearing, should consider legal and regulatory requirements of those jurisdictions relevant to them, as well as the risks associated with such products, before doing so. Eurex derivatives are currently not available for offer, sale or trading in the United States or by United States persons (other than EURO STOXX 50® Index Futures, EURO STOXX 50® ex Financials Index Futures, EURO STOXX® Select Dividend 30 Index Futures, EURO STOXX® Index Futures, EURO STOXX® Large/Mid/Small Index Futures, STOXX® Europe 50 Index Futures, STOXX® Europe 600 Index Futures, STOXX® Europe 600 Banks/Industrial Goods & Services/Insurance/Media/Travel & Leisure/Utilities Futures, STOXX® Europe Large/Mid/Small 200 Index Futures, Dow Jones Global Titans 50 IndexSM Futures (EUR & USD), DAX®/Mini-DAX®/MDAX®/TecDAX® Futures, SMIM® Futures, SLI Swiss Leader Index® Futures, MSCI World (FMWO, FMWP, FMWN)/Europe (FMEU, FMEP)/ Europe Value/Europe Growth/Emerging Markets (FMEM, FMEF, FMEN)/Emerging Markets Latin America/Emerging Markets EMEA/Emerging Markets Asia/China Free/India/Japan/Malaysia/South Africa/Thailand/AC Asia Pacific ex Japan Index Futures, TA-25 Index Futures, Daily Futures on TAIEX Futures, VSTOXX® Futures, Gold and Silver Futures as well as Eurex FX, property and interest rate derivatives). 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