The New Generation of ITinvest Trading System Architecture and Capabilities Andrey Ostashov, CIO 4th international «EXTENT Trading Technologies Trends & Quality Assurance» conference March 2nd, 2013, Obninsk

1. Andrey Ostashov,
CIO
The New Generation of ITinvest Trading System
Architecture and Capabilities
4th international «EXTENT Trading Technologies Trends & Quality Assurance» conference
March 2nd, 2013

2. “Old” Client Terminal
2
architecture
Load Balancing
Access Servers
Orders
Market data
Positions
Deals
System Kernel
FORTS
Transactional MICEX Gate
Gate
Other
Other Gates
Gates
FORTS
Info Gate

3. “Old” Client Terminal Roundtrip: 3
architecture 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. “Cloned” trading platforms 4
Load Balancing
Access Servers
System Kernel
Gates
Trading System 1 Trading System 2

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. New Client Roundtrip: 6
architecture Terminal
3 – 10 ms
Load Balancing
Algo
Gates
Data
distribution
3 - 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. “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. “Old” trading system 8
Module Functionality Software
OMS Orders validation Apache +
(Order Management Execution Reports Linux +
Server) Bercley DB
DDP Distribution of all data types Apache +
(Data Distribution Linux +
Point) Bercley DB
RMS Limits calculation Linux + SQL
(Risk Management
Server)
Trading Services Bus Integration and Service management Data Power
XM-70+
IBM Websphere
MQ LLM

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. 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. 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. We look forward 12
Thank you!
www.itinvest.ru