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EXTENT-2015: Real-time Market Surveillance for FX Markets

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Real-time Market Surveillance for FX Markets
Exactpro, GATElab
11 November 2015
Trading Technology Trends & Quality Assurance Conference in St. Petersburg

Published in: Technology
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EXTENT-2015: Real-time Market Surveillance for FX Markets

  1. 1. Real-time Market SurveillanceReal-time Market Surveillance for FX Marketsfor FX Markets Quality Assurance & Related Software Development for Innovative Trading Systems Tel: +7 495 640 2460, +1 415 830 38 49 www.exactpro.com GATElab, PROGNOZ, ExactproGATElab, PROGNOZ, Exactpro 11 November 201511 November 2015
  2. 2. 2 Quality Assurance & Related Software Development for Innovative Trading Systems Tel: +7 495 640 24 60 , +1 415 830 38 49 www.exactpro.com Algorithmicpath Market Events algorithmicpath Business Applications • Automated trading • Position keeping • Hedging • Risk mgmt • Pricing • Compliance Historical Data Internal Events Algorithmicpath is a platform for fast and easy development of high speed, low latency applications on real-time and historical data traderpath orotherplatform
  3. 3. 3 Exactpro Systems, LLC Quality Assurance & Related Software Development for Innovative Trading Systems Tel: +7 495 640 24 60 , +1 415 830 38 49 exactpro.com Testing & debugging • Maintaining state • Multithreaded • Integration: messaging, app. servers, RDBMS • Processing historical and live data • Synchronization • Load distribution and balancing • Interface with data feeds • Performance optimization Application Logic Custom canonical coding Coding wth algorithmicpath Amountofcodetobewrittenandtested • Faster processing speed • Rapid prototyping, • Time-to-market strongly reduced • Complex problem solution in a lower-risk The algorithmicpath processing engine is the leading platform for creating • high-speed, • high-volume, • low-latency automatic strategies Testing & debugging Application Logic Features synthesis
  4. 4. 4 Exactpro Systems, LLC Quality Assurance & Related Software Development for Innovative Trading Systems Tel: +7 495 640 24 60 , +1 415 830 38 49 exactpro.com Writing and running strategies Extended compiled PYTHON (dll, lib) •as host language to write actions co-related to, graphically defined ANDed or ORed events, •multithreading •high performance by compiling final version of strategies •extended by GATElab •extensible by end-users •easy and fast to use (1 week canonical dev. reduced to 30 mins) Graphical IDE or Control Panel Event definitons Related Actions Definitions Actions Implementation Strategies testing-debugging execution strategies as a ∑of ANDed, ORed events and related actions
  5. 5. 5 Exactpro Systems, LLC Quality Assurance & Related Software Development for Innovative Trading Systems Tel: +7 495 640 24 60 , +1 415 830 38 49 exactpro.com Graphical IDE event panel Point & Click editor to graphically depict ANDed, ORed Events-Actions behaviour of the strategy with input, state and relation parameters
  6. 6. 6 Exactpro Systems, LLC Quality Assurance & Related Software Development for Innovative Trading Systems Tel: +7 495 640 24 60 , +1 415 830 38 49 exactpro.com Graphical IDE action panel Action Editor Onec graphically depict ANDed, ORed Events-Actions behaviour, each specific action of the strategy can be easily written using standard Python language
  7. 7. 7 Exactpro Systems, LLC Quality Assurance & Related Software Development for Innovative Trading Systems Tel: +7 495 640 24 60 , +1 415 830 38 49 exactpro.com Strategies cooperation High performance proprietary MOM Strategy Manager Server Strategy Manager client • Thanks to distribution of • Strategies • Adapters (Market,, Historical data, others) • Over an intranet and/or extranet, by using respectively • Distributed memory blackboard • High Performance Message Oriented Middleware • Each strategy can: • Be deployed remotely in co-location with the used markets • Cooperate with other local or remote strategies, exchanging events and data • Be monitored by a trader front-end inter-intra strategy memory blackboard Access interface Enhanced Python Environment High performance proprietary MOM Strategy Manager Server inter-intra strategy memory blackboard Access interface Enhanced Python Environment markets internal data historic data markets internal data historic data
  8. 8. 8 Exactpro Systems, LLC Quality Assurance & Related Software Development for Innovative Trading Systems Tel: +7 495 640 24 60 , +1 415 830 38 49 exactpro.com Strategies cooperation Strategy Manager client • Strategies deployed in Frankfurt to monitor Eurex for signaling events to other sites and waiting for remote signals, coming from London and New York strategies, to perform local actions • Strategies deployed in London and New York to monitor local markets perform local actions based on remote incoming signals, send events to Frankfurt strategies to perform remote actions Frankfurt London New York London
  9. 9. 9 Exactpro Systems, LLC Quality Assurance & Related Software Development for Innovative Trading Systems Tel: +7 495 640 24 60 , +1 415 830 38 49 exactpro.com Exchangepath:“matching in a box” User Gateways Transaction Router - Master Matching & Info Engine Master 2 Nodes: 24 cores – 64GB Ram LRH Enterprise 1TB SAN Matching & Info Engine Slave Price Disseminator Engine Master Price Disseminator Engine Slave User Gateways Transaction Router - Slave The exchangepath® matching-in-a-box system is available in the following configurations: •one server only acting as master: no master/slave fault recovery is available •two servers: one acting as master and the other acting as slave
  10. 10. 10 Exactpro Systems, LLC Quality Assurance & Related Software Development for Innovative Trading Systems Tel: +7 495 640 24 60 , +1 415 830 38 49 exactpro.com Functional aspects • Order driven and quote driven capabilities for FX/equities/bonds market-place • Specially designed for low CAPEX and OPEX and H24/7 availability • Continuous negotiation and/or auction phases • Different types of orders (even complex like iceberg, etc.) and their management • Quote, single or double or massive, and their management • Execution reports & market data preparation and dissemination
  11. 11. 11 Exactpro Systems, LLC Quality Assurance & Related Software Development for Innovative Trading Systems Tel: +7 495 640 24 60 , +1 415 830 38 49 exactpro.com Non - Functional aspects • Support for more than 150,000 instruments (depending on the deployment scenario) per partition • Slave (passive) matching engine sync alignment • All relevant data written onto disks (no RDBMS needed) • Native API and FIX interfaces to manage transactional requests • epMDI (exchangepath ITCH like market data interface) to disseminate market data • Latency provided by the system is significantly below 100 µs
  12. 12. 12 Exactpro Systems, LLC Quality Assurance & Related Software Development for Innovative Trading Systems Tel: +7 495 640 24 60 , +1 415 830 38 49 exactpro.com Configuration & supervision/surveillance aspects • Member, groups, users configuration and management • Instruments, segments-sectors configuration and management • Market calendar configuration and management • Market restrictions configuration and management • Trading periods and phases handling per segments, sectors, instrument configuration and management • Trading operational limits (i.e. price deviation, price/quantity tick deviation) configuration and management • Entry level surveillance activities (i.e. queries, deletion, suspension, activation) configuration and management • Sophisticated surveillance rules via external algo system (GATElab algorithmicpath platform)
  13. 13. Thank you 13 Exactpro Systems, LLC Quality Assurance & Related Software Development for Innovative Trading Systems Tel: +7 495 640 24 60 , +1 415 830 38 49 exactpro.com

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