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EXTENT-2016: Technology Trends in Capital Markets

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EXTENT-2016: Software Testing & Trading Technology Trends
22 June, 2016, 10 Paternoster Square, London


Technology Trends in Capital Markets
Dr. Satchi Branavan, Chief Scientist Machine Learning, MillenniumIT

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EXTENT-2016: Technology Trends in Capital Markets

  1. 1. Innovation is power Technology Trends in Capital Markets Page 1 22/06/2016
  2. 2. Innovation is power 1. Description Driven Systems • System Description • Asset Class Description 2. Automated System Health Monitoring Page 2
  3. 3. Innovation is powerPage 3 Description Driven Systems The Abstraction Gap Business Functionality System Implementation Engineer (code) system. Expensive, error prone
  4. 4. Innovation is powerPage 4 Description Driven Systems The Abstraction Gap Business Functionality System Implementation Engineer (code) system. Expensive, error proneUnderstanding existing functionality extremely difficult
  5. 5. Innovation is powerPage 5 Description Driven Systems The Abstraction Gap Business Functionality System Implementation High level, abstract spec Low level, detailed implementation Mostly manual code creation. Expensive, error prone.Understanding existing functionality extremely difficult
  6. 6. Innovation is powerPage 6 Description Driven Systems The Abstraction Gap Business Functionality System Implementation High level, abstract spec Low level, detailed implementation Abstraction gap Mostly manual code creation. Expensive, error prone.Understanding existing functionality extremely difficult
  7. 7. Innovation is powerPage 7 Description Driven Systems Bridging the Gap Automatically Business Functionality System Implementation High level, abstract spec Low level, detailed implementation Description Language Specification High level, formal spec
  8. 8. Innovation is powerPage 8 Description Driven Systems Bridging the Gap Automatically Business Functionality System Implementation High level, abstract spec Low level, detailed implementation Fully automatic code generation Description Language Specification High level, formal spec Little change in abstraction levels during human effort
  9. 9. Innovation is powerPage 9 Description Driven Systems Bridging the Gap Automatically Description Language Toolkit: • Domain specific languages. • Allows high level specification. • Defines data, computation, workflows & interfaces. • Concise, with high levels of abstraction. • Automated inference. • Strongly typed. • Compile time verification of system specification. • 100x efficiency improvement.
  10. 10. Innovation is power 1. Description Driven Systems • System Description • Asset Class Description 2. Automated System Health Monitoring Page 10
  11. 11. Innovation is powerPage 11 Asset Class Functionality Position Management Trade Management Risk Settlement E F O E F O E F O E F O Equities Futures Options Behaviour coded into system Variety of products, with configurable attributes
  12. 12. Innovation is powerPage 12 Asset Class Functionality Position Management Trade Management Risk Settlement E F O E F O E F O E F O Equities Futures Options S S S S Adding a new product means changing entire system Swaps
  13. 13. Innovation is powerPage 13 Locally encoded product behaviour: • Obscures system functionality. • Promotes fragmentation. • Hinders integration & unification. • Reduces information reliability. • Increases operational risk. • Increases costs. Asset Class Functionality
  14. 14. Innovation is powerPage 14 Asset Class Description All behaviours of every asset class specified in one place All functionality managed centrally and coherently Asset classes Position Management Trade Management MTMRisk Settlement Delivery Asset class agnostic system infrastructure
  15. 15. Innovation is powerPage 15 Centralized asset class description • Clarifies system functionality. • Promotes integration & coherence. • Increases business agility • Reduces information loss & Increases information reliability. • Reduces operational risk. • Reduces cost of ownership and change. Post-Trade Description Language
  16. 16. Innovation is powerPage 16 A Description Language that: • An algebra over the set of all post-trade asset classes. • A small number of primitives covering all behaviours, over all clearing and settlement functions. Post-Trade Description Language
  17. 17. Innovation is powerPage 17 Built on A Mathematical Model of Post-Trade
  18. 18. Innovation is power 1. Description Driven Systems • System Description • Asset Class Description 2. Automated System Health Monitoring Page 18
  19. 19. Innovation is powerPage 19 Impossible to proactively & effectively monitor manually • Tens of servers. • Complex network architectures. • Hundreds of processes; active, standby & admin. • Hundreds of gateways & file interfaces. • Hundreds of internal users. • Thousands of external users connections. • Millions of messages & events per day. System Monitoring
  20. 20. Innovation is powerPage 20 Impossible to proactively & effectively monitor manually • Thousands of statistics & system monitoring messages. • Events indicative of a developing problem will not be noticed. • Management can only be reactive. System Monitoring
  21. 21. Innovation is powerPage 21 Proactive System Management Thousands of statistics & system monitoring messages Errors are noticed only after they occur Warning signs are missed !
  22. 22. Innovation is powerPage 22 Early warning of impending issues essential for effective system management: • Events that will cause future errors. • Resource usage trends indicating impending capacity issues. • Missing events indicating silent errors. • Unusual system behaviour indicating underlying issues. Proactive System Management
  23. 23. Innovation is powerPage 23 Proactive System Management AIFilter Warning signs can be proactively managed Errors avoided by proactive remediation
  24. 24. Innovation is powerPage 24 Automatic Adaptive Filtering Learn to identify warning signs based on: • Precursors of previously observed errors. • Observed temporal & frequency domain patterns. • Observed normal operating parameters.
  25. 25. Innovation is powerPage 25 Goals: • Automated, pre-emptive early warning. • Automated preventative actions. • Automated remedial actions. Proactive System Management
  26. 26. Innovation is power Thank you. Page 26 22/06/2016

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