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Extent 2013 Obninsk New Trading System: Architecture and Capabilities


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ITinvest - "New Trading System: Architecture and Capabilities"

Andrey Ostashov, Head of Information Technology, ITinvest

Published in: Technology
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Extent 2013 Obninsk New Trading System: Architecture and Capabilities

  1. 1. Andrey Ostashov, CIO The New Generation of ITinvest Trading System Architecture and Capabilities4th international «EXTENT Trading Technologies Trends & Quality Assurance» conference March 2nd, 2013
  2. 2. “Old” Client Terminal 2architecture Load Balancing Access Servers OrdersMarket data Positions Deals System Kernel FORTS Transactional MICEX Gate Gate Other Other Gates Gates FORTS Info Gate
  3. 3. “Old” Client Terminal Roundtrip: 3architecture 30 – 90 ms 10-30 мс Access Servers 15-45 мс System Kernel FORTS Transactional MICEX Gate Gate 10 мс 1 мс FORTS Info Gate
  4. 4. “Cloned” trading platforms 4 Load Balancing Access Servers System Kernel Gates Trading System 1 Trading System 2
  5. 5. “Old” system drawbacks 5 1. Low performance and limited scalability ; 2. Necessity to “clone” trading platforms; 3. Unjustified expenses, such as extra budget and resources; 4. Deterioration in trading systems manageability; 5. Difficulties in enhancing the systems functionality
  6. 6. New Client Roundtrip: 6architecture Terminal 3 – 10 msLoad Balancing Algo Gates Data distribution3 - 8 мс Risk Order management management Trading Services Bus 400 1 мс 1 мс мкс FORTS Gates MICEX Spot Gates MICEX Cur Gates LSE Gates
  7. 7. “Old” trading system 7 Module Functionality Software SmartServer Users authorization and orders pre- Apache + Linux validation Distribution of trading- and market- data System Kernel Portfolio management Linux + SQL Order validation Risk Management, History Exchange Gates Connection with external systems Windows
  8. 8. “Old” trading system 8Module Functionality SoftwareOMS Orders validation Apache +(Order Management Execution Reports Linux +Server) Bercley DBDDP Distribution of all data types Apache +(Data Distribution Linux +Point) Bercley DBRMS Limits calculation Linux + SQL(Risk ManagementServer)Trading Services Bus Integration and Service management Data Power XM-70+ IBM Websphere MQ LLM
  9. 9. New system - benefits 10 1. Data flow split between functional groups 2. It is easier to scale up the system now 3. Increase trading system’s reliability 4. Management and monitoring system was implemented 5. We implemented a single cash account
  10. 10. New trading system history 6 1) System Design: December 2010 – March 2011 2) Development April 2011 – September 2012 3) Testing October 2012 – December 2012 4) Implementation January 2013 – March 2013 5) Clients Access April 2013
  11. 11. Perspectives 11 1. Completely implementation of post-trade controls and decrease order processing time to 1- 3 msec. 2. A single cash account for options trading on FORTS, including the decommissioning of the RTS risk management system . 3. The implementation of our own global risk- management system to perform arbitrage operation on Russian and foreign financial markets (MICEX – FORTS – Standard – LSE – CME)
  12. 12. We look forward 12 Thank you!