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Technical User Group

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Technical User Group
Paris, 6 October 2016

Agenda
• Introduction
• London Stock Exchange Derivatives Market & IDEM - New Version for SOLA
• London Stock Exchange Group - GTP Updates
• Borsa Italiana - MIT R9.0 (incl. RFQs)
• London Stock Exchange / Turquoise Equities - MIT R9.1 (incl. RFQs)
• London Stock Exchange Group – TRADEcho
• London Stock Exchange - MITCH Decommissioning
• Exactpro - Overview
• Q & A Session

Published in: Technology

Technical User Group

  1. 1. Technical User Group Paris, 6 October 2016
  2. 2. Agenda Page 2 • Introduction • London Stock Exchange Derivatives Market & IDEM - New Version for SOLA • London Stock Exchange Group - GTP Updates • Borsa Italiana - MIT R9.0 (incl. RFQs) • London Stock Exchange / Turquoise Equities - MIT R9.1 (incl. RFQs) • London Stock Exchange Group – TRADEcho • London Stock Exchange - MITCH Decommissioning • ExactPro - Overview • Q & A Session
  3. 3. Page 3 SOLA 9 Flavio Ravotto Manager, Technical Account Management and Professional Services Client Technology Services Italy
  4. 4. SOLA 9 (1) Page 4 • New release of the SOLA platform (SOLA 9.2) will be introduced for IDEM and LSEDM Equity Derivative products • Interest Rate Derivative products (Curve) will not be impacted • Changes to the protocol will be introduced • Documentation for LSEDM Equity Derivative products already available • Documentation for IDEM will be published in due course
  5. 5. SOLA 9 (2) Page 5 • LSEDM Equity Derivative products CDS has been upgraded to SOLA 9 since September 2016 • Availability of IDEM CDS for SOLA 9 will be communicated in due course • Dress Rehearsals will be organized prior the go-live • Planned go-live date: • November 2016 for LSEDM Equity Derivative products • Go-live date for IDEM not decided yet
  6. 6. Pre-Trade Validations - Background Page 6 • With SOLA 9 a set of Pre-Trade Validation functionalities will be provided • It will be possible to set pre-trade controls on a single or a group of Trader IDs associated with a participant • The service will complement the following services that are already available at trading or clearing level : • BCS Risk Management: ex-post controls • Drop Copy: monitoring function of orders and executed trades • Main Requirement: to provide a means to set maximum order size, position and exposure limits on a Trader ID/Group of Trader IDs/Trading Participant level
  7. 7. Pre-trade Validations – Solution (1) Page 7 • The Risk Manager (the “controlling entity”) will be able to specify a set of limits for a specified “managed entity” • Possibility to set limits will be available via SOLA APIs and GUI • Limits can be updated in real time with immediate effectiveness • On the basis of the configurations defined by the “controlling entity”, SOLA will perform real-time checks before allowing each order/quote to enter the market
  8. 8. Pre-trade Validations - Solution (2) Page 8 • Limits can be set at different levels: • Firm/Group of Trader ID/Instrument Group/Instrument • Firm/Group of Trader ID/Instrument Group • Firm/Instrument Group/Instrument • Firm/Instrument Group
  9. 9. Pre-trade Validations - Implementation Page 9 • Available Limits (Detailed documentation will be published at a later stage): • Max Order Quantity (different thresholds for normal orders and cross/committed orders) • Position: limits on executed trades (net long/short position, expressed in quantity terms) during the day • The trade triggering the breach of the limit is executed • The breach of the net long threshold triggers the cancellation of all buy orders and all quotes (and vice versa for the net short threshold) • Exposure: limits on executed trades (net long/short position) + open orders (no quotes). Expressed in quantity terms • Breach of the net long threshold triggers cancellation of all buy orders/quotes (and vice versa for the net short threshold) • Access to Market Maker Protection to control quoting activity (most restrictive rule will apply in case of conflicts) • Kill Switch: cancels all the orders (cross/committed orders included) and quotes for a Trader and disable the Trader/the Firm • New messages for SAIL protocol only • FIX protocol is not impacted • FIX protocol changes include new error codes only
  10. 10. Pre-trade Validations - Monitoring Page 10 • SOLA will disseminate messages related to the “usage” of the defined limits (“Risk Limits Usage Notice”) • anytime a defined limit approaches the threshold, at 10% intervals, an alert is disseminated • alerts are disseminated when the available thresholds is “used” at 50%, 60%, 70% etc. of its total • Available for: • position and exposure limits • via SOLA APIs and GUI
  11. 11. Page 11 GTP Updates Flavio Ravotto Manager, Technical Account Management and Professional Services Client Technology Services Italy
  12. 12. Protocol changes (1) Page 12 • New Layout of message Instrument Directory – Strategies (0x6f): • Source Venue • Venue Instrument ID • Series Name • Group ID • Activation Date Time • Expiration Date • Strategy pricing
  13. 13. Protocol changes (2) Page 13 • Message Instrument Directory – Fixed Income (0x6e): new field Description will be added to reflect the type of bond • Message Instrument Directory – Equities (0x52): new fields Description and Symbol will be added. • Message Statistic Snapshot (0x6b): three new fields related to the last executed trade for the current day will be added: • Last Trade Price • Last Trade Quantity • Last Trade Time If no relevant trades have taken place for a particular instrument then the fields will be set to the default value '0‘
  14. 14. Planning Page 14 • Changes to the protocol will be introduced for all Venues currently available via GTP (Borsa Italiana cash and derivatives markets and LSE cash markets) • Documentation available since July 2016 • CDS available since July 2016 • Planned Go-Live date: October, 24th 2016 • contextual with the delivery of the Release 9 for Borsa Italiana and EuroTLX • Both GTP London and GTP Milan Instances will be upgraded at the same time
  15. 15. Page 15 MIT Release 9 and “Request for Quote” Flavio Ravotto Manager, Technical Account Management and Professional Services Client Technology Services Italy
  16. 16. Release 9 - Overview Page 16 • A new release of the MIT platform (Release 9) will be delivered for Borsa Italiana and EuroTLX markets • Changes/Optimization to the protocol will be introduced • Introduction of the “Request for Quote” Functionality for MOT, ETF and EuroTLX markets • Conformance Test will have to be mandatorily performed before the go-live
  17. 17. Release 9 - Planning Page 17 • Release 9 is available in CDS for Borsa Italiana and EuroTLX since July 2016 • Documentation published on June 8th 2016 • Dress Rehearsals held on Saturday, October 1st 2017 • Go-live date October, 24th 2016 for both Borsa Italiana and EuroTLX
  18. 18. Randomized Peak for Iceberg Orders Page 18 • Now when sending an Iceberg Order, the Trader specifies a Visible Quantity that is put on the order book when the order is sent and every time the visible quantity is fully executed • With the Release 9, the Visible Quantity will be optionally randomized • The Trader will keep specifying a Visible Quantity for Iceberg Orders • When the trader will choose to randomize the Visible Quantity: • the first time the Iceberg Order is put on the Order Book, the peak quantity shown will be the Trader specified Visible Quantity • after every full execution of the previously used peak quantity, the quantity shown will be a random value between the Trader specified Visible Quantity and the Trader specified Visible Quantity plus 20%
  19. 19. Request for Quote (1) Page 19 • RFQ will be available on MOT, ETF+ and EuroTLX markets • RFQ will allow Member Firms to request a Quote for a specified quantity on a given instrument to registered Market Makers • The Member Firm that entered a RFQ is called Requester • Market Makers will have to subscribe in order to receive entered RFQs on one or more instruments • RFQ (form both Requesters and Market Makers) will be available via both the Native and the FIX protocols • RFQ will be usable for large in scale orders, so RFQ quantity will have to be above a minimum threshold
  20. 20. Request for Quote (2) Page 20 • The RFQ will mandatorily contain the quantity and optionally contain the Side • if the Requester specifies the Side, this will be the only executable Side of the RFQ and cannot change during the RFQ lifetime • The RFQ can be Anonymous or Visible • With Anonymous RFQs, the Market Makers will not know the Requester and vice versa • With Visible RFQs: • the Market Makers will know the Requester and vice versa • the Requester will have to specify the Market Makers to which the RFQ should be routed
  21. 21. Request for Quote (3) Page 21 • Market Makers will choose whether to respond with a Quote or to ignore, if decide to respond will provide a Bid and/or a Ask Price (the Quote can be dual sided or single sided) • a Market Maker decides to provide a Bid Price, a Ask Price or both independently from the Side specified by the Requester (if any) • Market Makers can update or cancel the Quote they submitted • Quotes entered by Market Makers will be routed to the Requester, that will decide whether to: • Execute • Withdraw the request
  22. 22. Request for Quote (4) Page 22 • When the Requester decides to execute, the execution will happen against the best Quote (in terms of Price) among the received ones • The Requester receives all Quotes entered by Market Makers but cannot choose which Quote to execute against • The execution is made against a private order book composed of quotes sent by Market Makers • Traded Price is subject to limits against Public Order Book best Bid/Ask Prices (that may differ from the ones applied to BTF ones, e.g. on MOT it will be possible to trade at prices significantly different from Public Order Book ones) • In case of execution, the trade • for Cleared Instruments, sent to the CCP • is published via Market Data services (GTP and MITCH) marked as “RFQ Trade”
  23. 23. RFQ – Request Page 23 • A unique identifier of the RFQ assigned by the Requester • The Expire Time of the RFQ (the time the negotiation process terminated at) • Instrument ID of the Instrument subject of the quote • Quantity • Side (optional) • In case of Named RFQ the list of Market Makers to which the RFQ should be routed
  24. 24. RFQ – Response Page 24 • The identifier of the RFQ assigned by the Requester (to identify the RFQ) • Bid Price/Quantity and/or Ask Price/Quantity • the Market Maker may provide both Bid and Ask Sides even in the case the Requester specified the Side he is interested to trade against • Bid and/or Ask Quantity should be greater or equal than the one requested by the Requester • in any case, the executable quantity is the one contained in the request
  25. 25. RFQ – Examples (1) Page 25 Requester MM 2MM 1Market RFQ (Buy 100) RFQ (Buy 100) RFQ (Buy 100) Quote (sell@9) Execute Quote (sell@9.2) Execution Execution Quote (sell@9) Quote (sell@9.2) Bid Qty Bid Price Ask Price Ask Qty 9 100 9.2 100 Aggregated Orderbook Best Quote
  26. 26. RFQ – Examples (2) Page 26 Requester MM 2MM 1Market RFQ (Sell) RFQ (Sell) RFQ (Sell) Quote (buy@9) Cancel Quote (buy@9.2) Quote (buy@9) Quote (buy@9.2) Cancel Cancel
  27. 27. Quote (buy@9.1, sell@10) RFQ – Examples (3) Page 27 Requester MM 2MM 1Market RFQ (100) RFQ (100) RFQ (100) Quote (buy@9, sell@10) Execute (Sell) Quote (buy@8.9, sell@10.1) Execution Execution Quote (buy@9, sell@10) Quote (buy@8.9, sell@10.1) Bid Qty Bid Price Ask Price Ask Qty 100 9.1 10 100 100 8.9 10.1 100 Aggregated Orderbook Best Quote Quote (buy@9.1, sell@10)
  28. 28. Cancel RFQ – Examples (4) Page 28 Requester MM 2MM 1Market RFQ (Buy 100) RFQ (Buy 100) RFQ (Buy 100) Quote (sell@9) Execute Quote (sell@9.1) Execution Execution Quote (sell@9) Quote (sell@9.1) Bid Qty Bid Price Ask Price Ask Qty 9.1 100 Aggregated Orderbook Best Quote Cancel (sell@9)
  29. 29. Page 29 Contacts
  30. 30. Client Technology Services Italy Page 30 • Technical Account Management and Professional Services +39 72 42 6 348/606/333 Clients-Services@borsaitaliana.it • Market Access (configurations, enablements, etc.) +39 02 72426668 market-access@borsaitaliana.it • Service-Desk (customer support desk) Toll Free: 0080026772000 - From mobile: +39 02 45411399 service-desk@borsaitaliana.it
  31. 31. London Stock Exchange – Release 9.1 Don Mucha Manager – Technical Account Management and Market Access Client Technology Services - UK London Stock Exchange Group Page 31
  32. 32. London Stock Exchange – Release 9.1 Page 32 Summary of Changes • Introduction for Request for Quotes (RFQ’s) • Introduction of Pre Trade Risk Controls for RFQ’s and Cross Orders • Ability to load Sponsored Access restricted instrument list (RIL) via the Sponsored Access portal
  33. 33. London Stock Exchange – Release 9.1 Page 33 Impact on London Stock Exchange Trading Interfaces FIX Trading • Additional tags to support RFQ’s added to Quote, Quote Cancel, Quote Status Report and Execution Report messages • Following new messages added to support RFQ’s: Quote Request, Quote Request Reject, Quote Ack and Quote Response Native • New messages added to support RFQ’s: Quote Request, Quote Request Reject, RFQ Quote, Quote Response, Quote Ack and RFQ Execution Report
  34. 34. LSE RFQ Offering (1) Page 34 RFQ functionality – estimated delivery Q4 2016 for ETFs & ETPs • Currently it is estimated that 70% of ETF/ETP trading in Europe happens OTC. ETFs and ETPs are currently non MiFID instruments and therefore do not have pre trade and post trade transparency requirements • New RFQ functionality will complement our existing trading services by promoting the execution of larger sized trades by institutional clients on Exchange which would usually occur OTC • The service is a non pre trade transparent model and has been designed to protect order book liquidity by setting a minimum trade size • Pre MiFID II the minimum trade size will be 4x EMS and then move to MiFID II LIS size (1m Euro), ensuring a MiFID II compliant LIS trading facility • RFQ responses are price validated with reference to the order book BBO (+/- a small % tolerance) • Trades are classified as order book (flagged as RFQ) and follow LSE rule book as per existing order book trades
  35. 35. LSE RFQ Offering (2) Page 35 • RFQ sessions will be private between requestor and market maker • RFQ max duration will be 180 seconds • Only registered market makers will be able to respond to quote requests and there will be no obligation for market makers to respond • All trading participants connected to the order book will be able to access RFQ • Requestor can decide to remain anonymous or to be named per RFQ • The service will offer automated trade reporting and clearing
  36. 36. Main aspects of RFQ functionality Page 36 Requester Trading Venue Market Maker 1.0 Participant submits quote request 1.2 Quote request is disseminated to dealers Market Maker Market Maker Market Maker 1.1 RFQ process validity period starts Event 1 - Initiation Market Maker Market Maker Market Maker Market Maker 2.0 Dealers submit quotes Requester 2.2 Response is disseminated to the participant Event 2 - Response Event 3 - Conclusion Requester Market Maker 3.0 Participant hits/lifts a quote 3.1 Relevant participant gets an update on the trade. Others receive a notification. Market Maker Market Maker Market Maker
  37. 37. Pre Trade Risk Controls Page 37 Pre trade risk controls (PTRCs) – estimated delivery Q4 2016 • To help facilitate market adoption of LSE on exchange cleared bilateral type trade functionality such as RFQ, Pre trade risk controls will be available via a GUI for GCMs and CCPs to manage if required. • Risk Controls will be available on both FIX and Native protocols. • Drop copies are available via the existing Drop Copy service. • Risk controls consists of real-time gateway level validations. Alerts can be sent when configured thresholds are breached. Users can also monitor risk exposure in real time via a web portal where a kill switch is available. • The web portal is also used to configure users. Although based on the existing Sponsored Access portal, it is functionally different and independent of the SA controls. A file upload facility will also be available for setting PTR limits. Member firms can request a read only version of the web portal should they require. • Limits can be set at Global Level (User ID) and Instrument Group Level (User ID – Instrument Group). Max order values for each order type and restricted instrument lists can also be set. • Further details will be available via a service description which will be available in due course. • To find out more contact your TAM or email the TAM team.
  38. 38. London Stock Exchange – Release 9.1 Page 38 Event Date Customer Technical Specifications available August 2016 Release 9.1 deployed to CDS 13 September 2016 Customer Dress Rehearsal 1* 12 November 2016 Customer Dress Rehearsal 2* 26 November 2016 Release 9.1 production go-live* 5 December 2016 *Subject to customer readiness and internal testing
  39. 39. Turquoise – Release 9.1 Don Mucha Manager – Technical Account Management and Market Access Client Technology Services - UK London Stock Exchange Group Page 39
  40. 40. Turquoise – Release 9.1 Page 40 Summary of Changes: • Changes to MinQty behaviour • Adding tag 851- LastLiquidityIndicator to FIX Execution Reports • Turquoise Plato Uncross™ identifier on MITCH Trade messages • Message length increase of the Native Cancel and Cancel Reject message
  41. 41. Turquoise – Release 9.1 Page 41 Additional Information • Mandatory certification for all Native Trading software in accordance with London Stock Exchange Group’s certification policy. • Customers should ensure all MITCH applications have been tested prior to production go-live. • Sign-off must be provided by all customers to their Technical Account Manager before go-live.
  42. 42. Turquoise – Release 9.1 Page 42 Event Date Customer Technical Specifications available October 2016 Release 9.1 deployed to CDS End of October 2016 Release 9.1 production go-live* January 2017 *Production go-live date will be communicated in due course
  43. 43. TRADEcho Page 43 Philippe Teillet Technical Account Manager Client Technology Services – UK London Stock Exchange Group
  44. 44. What is TRADEcho? Page 44 • Partnership between BOAT Services and London Stock Exchange • Aim to provide MiFID II transparency services by combining the two existing trade reporting platforms and utilising the respective strengths of each firm • TRADEcho will be an APA (Approved Publication Arrangement) under MiFID II • Different phases will be introduced for this project
  45. 45. TRADEcho Timeline (1) Page 45 Q4 Customer Testing in CDS Q1 2017: Go-live First phase is to migrate all existing BOAT and London Stock Exchange clients to TRADEcho for off-book trade reporting + SI Quoting + TRADEcho portal (web based not accessible via the internet) + Same universe of instruments as currently available on the London Stock Exchange market plus some additional BOAT specific instruments + Intention for SIX Swiss OTC trade reporting to be supported as it is today for BOAT clients
  46. 46. TRADEcho Timeline (2) Page 46 Additional phases: • Smart Report Router (SRR) • Meet your MiFID II reporting requirements early by outsource trade report persistence and publication logic • Rules configured easily via the TRADEcho portal and supported by the key reference data required to trigger rules, removing the need for internal config updates • Cleared off book trades • Evolution of service to support the additional asset classes that are introduced with MiFID II
  47. 47. Technical Overview (1) Page 47 • TRADEcho Service will be hosted in the London Stock Exchange Group data centres • Customers will be able to use existing LSEG connectivity products to access the service • Market Data for the new service will be disseminated via the Group Ticker Plant Service (GTP) only • Once TRADEcho is live, MITCH will no longer publish off-book trade report Market Data
  48. 48. Technical Overview (2) Page 48 • Currently the LSE PTGW (Post Trade Gateway) provides 3 functionalities: •Off-book trade reporting •OTBD (Own Trade Book Download) •Real Time TCR (Trade Capture Report) • OTBD and Real Time TCR will remain on PTGW • Off-Book Trade Reporting will migrate to TRADEcho • New gateways - FIX 5.0 SP2 interface • Introduction of SI Quotes • Reference data available via the current XLON files and via GTP Instrument Directory message
  49. 49. Technical Overview (3) Page 49 • Customers will have the option to choose between the LSE or Market Model Typology (MMT) trade reporting logic • TradeInformationProtocol (20000) has been added to the Trade Capture Report message: • 1 = MMT v3.0x • 2 = LSE PTGW (default) • Supported messages: • MassQuote (i) • MassQuoteAcknowledgement (b) • QuoteCancel (Z) • SuspendQuoting (U3) • SuspendQuotingStatusReport (U4) • TradeCaptureReport (AE) • TradeCaptureReportAck (AR)
  50. 50. Technical Overview (4) Page 50 Multi-service Web Portal will also be provided • All information submitted through FIX will also be available through the web portal • Clients will be able to view, enter and amend their submitted trade reports and quotes • Reference data will be available for viewing and downloading • The updated portal will provide firms with the ability to manage real-time alerts and generate reports specific to their needs • Administrative users will be able to set up users and manage permissions
  51. 51. Technical Overview (5) Page 51 • New website dedicated to the service, www.tradecho.com • The FIX 5.0 SP2 Specification document is now available:  www.londonstockexchange.com/products-and-services/technical-library/millennium-exchange-technical- specifications/millennium-exchange-technical-specifications.htm  www.tradecho.com • Updated GTP documents available:  www.londonstockexchange.com/products-and-services/millennium-exchange/documentation/documentation.htm • Technical Account Management team: •londonTAM@lseg.com •+44 (0)207 797 3939
  52. 52. MITCH Product Roadmap Page 52
  53. 53. MITCH Product Roadmap (1) Page 53 • Group Ticker Plant supports London Stock Exchange Group’s real-time information services roadmap. • As announced previously, and as indicated by the decommission of MDF/DDM-Plus and FIX-FAST, the Group intends to rationalise data services when it is appropriate to do so. This includes the decommissioning of the MITCH market data protocol. • Following go-live of Group Ticker Plant Phase 2.0 services, and following feedback from customers, the Group can now share the roadmap for the MITCH product. Please note that this is indicative only and the Group is keen to receive feedback.
  54. 54. MITCH Product Roadmap (2) Page 54 • The below roadmap applies only to London Stock Exchange MITCH implementations. There is no current plan to decommission Borsa Italiana, EuroTLX and Turquoise MITCH services. • We ask customers to confirm if the roadmap is achievable by November 2016. February 2016 Group Ticker Plant Phase 2.0 services made available to customers. November 2016 MITCH client onboarding ceases. LSEG will not permit additional new MITCH customers. January 2017 Formal contractual notification of MITCH decommission February 2017 onwards Customer decommissioning plans in progress, with support from Technical Account Management. June 2017 MITCH decommission for London Stock Exchange markets.
  55. 55. Exactpro - Open Access Software Testing Iosif Itkin CEO Exactpro Systems London Stock Exchange Group Page 55
  56. 56.  Exactpro Timeline  Global Client Network  Quality Assurance Areas Covered  Software Testing Tools  Functional Testing Scope  Execution Venues  Market Participants  Software Testing Ideas  Passive Verification and Clients Onboarding  Test Harness for Algo-Trading Systems  Tools and Methods of Program Analysis Conference  EXTENT Software Testing Conference Contents Page 56
  57. 57. Steady Growth Thanks to Unparalleled Service and Dedication Page 57 Exactpro is: Clients Worldwide: • A specialist firm focused on functional and non functional testing of systems that process wholesale financial products, particularly market infrastructure • A UK company with operations in the US and four QA & software development centres in Russia • Part of London Stock Exchange Group as of May 29, 2015 • Incorporated in 2009 with 10 people, our company has experienced significant growth as satisfied clients require more services; now employing over 380 specialists Page 57
  58. 58. Toronto New York Tysons Corner Montreal Portland Seattle Dubai Colombo Johannesburg Sydney Singapore Hong Kong Moscow Oslo Paris Milan Athens Vienna London Amsterdam A specialist firm operating an open access model with focus on functional and operational testing for global financial markets worldwide A UK company with operations in the US and four QA & software development centres in Russia Part of LSEG Since May 29, 2015 Incorporated in 2009 with 10 people, our company has experienced significant growth as satisfied clients require more services; Now employing over 380 specialists Open Access Quality Assurance A Global Client Network Page 58
  59. 59. Quality Assurance: test planning and management Process audit and test coverage analysis Intelligent Management of Large Data Sets Test data management Protocol level testing using FIX/FAST, SOAP, HTTP, ITCH, SWIFT, MQ, SQL, proprietary binary and text based data formats, etc. Automated regression testing Gathering requirements and test scenario creation (human, message & reporting interfaces) Creating and productizing state-of-the-art test harnesses Test automation Intelligent functional and exploratory testing Latency & capacity testing Covering All Aspects of Software Delivery Life Cycle Page 59
  60. 60. Automated testing Compares intended and received results Automated end 2 end clearing system testing Automated monitoring, analysis and reporting 75K messages / second from a single CPU core Measures latencies in microsecond range A variety of algoes simulating end-clients will run and see how system performs We Build Software to Test Our Clients’ Software Page 60
  61. 61. Our Experience in Market Infrastructures Testing Our experience in market infrastructures testing embraces all components and operational processes. Unique tools have been used to test a wide variety of vendor platforms. A holistic integrated automated test solution for trading, clearing, settlement and other systems Page 61
  62. 62. Software Testing for Brokerage Systems Page 62
  63. 63. Passive Software Testing Passive testing is a process of finding defects in a system under test done by investigating its behaviour without affecting its normal operation. Passive testing tools are used for automated log collection, data structuring, monitoring, system behaviour analysis and user certification. Test tools allow promptly analysing high volume of data, reacting to deviations in the system’s behaviour from requirements and troubleshooting Page 63
  64. 64. Migrating a Clients FIX Customer Base to a New Trading Platform In contrast to exchange platforms, broker systems normally allow a much wider range of possibilities for tuning the protocol for interaction with client systems. One client can concurrently use several brokers for accessing an exchange. Brokers often try to reduce the number of changes in communication protocols which a particular client must implement. This approach simplifies client interaction and leads to the existence of a large number of heterogeneous configurations on the broker platform end. If the internal changes of the broker platform take place, a need in a regression test occurs to verify compatibility with the client systems. The developed tool allows processing of existing data from test and production environments and creating the needed library of active testing scenarios. Production logs are loaded into the certification testing tool’s data base. The script generator is using the data base for creating a sequence of test scenarios performed by an active test tool for functional testing. Logs generated when test scenarios are executed are loaded into the data base to compare them with production logs. Page 64
  65. 65. Reference Test Harness for Algo-Trading Systems One of the essential parts of algorithm testing, based on regulator requirements, is specific testing in a non-live trading environment. This would allow those involved in the certification process to make a correct assessment of algorithm risk, profitability and efficiency Page 65
  66. 66. Run Your System Against Competing Algo-Trading Strategies The Minirobots tool, developed with the idea of simulating real traders' behaviour in mind, is able to make decisions under specific market conditions in a common fashion, but at the same time has a certain degree of autonomy. Depending on what the testing needs are, each of the robots can act independently or jointly executing a particular trading strategy or simply replaying a stored list of orders. Page 66
  67. 67. Software Engineering Conferences • Competing conference papers go through a review by a number of leading software development and analysis experts and scientists • The best papers are recommended for their inclusion in Russia’s leading professional and scientific publications The fourth TMPA conference in March, Moscow, Russia Find out more: www.tmpaconf.org Renowned experts in program engineering speaking on: • software test automation • static program analysis • verification • dynamic methods of program analysis • analysis of parallel and distributed systems • testing and analysis of high-availability systems • analysis of hardware and software systems • methods of building quality software • tools for software analysis, testing and verification Page 67
  68. 68. Software Testing Conferences The sixth EXTENT conference will be held in London, UK . Find out more: www.extentconf.com – LSEG Technology and Quality Assurance – Risk controls and FPGA – Market Surveillance systems – Blockchain and trading technology trends – Artificial intelligence Thank You Page 68
  69. 69. TUG presentation link: http://www.londonstockexchange.com/products-and-services/technical-library/technical-user-group/technical-user-group.htm Page 69 Q & A

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