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EXTENT-2017: Multi-Asset Trading Platform – Practical Aspects of Development and Testing

EXTENT-2017: Multi-Asset Trading Platform – Practical Aspects of Development and Testing

EXTENT-2017: Software Testing & Trading Technology Trends Conference
29 June, 2017, 10 Paternoster Square, London

Multi-Asset Trading Platform – Practical Aspects of Development and Testing
Danil Baburin, Head of QUIK Development, ARQA Technologies

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June 30, 2017
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  1. Multi-Asset Trading Platform — Practical Aspects of Development and Testing

    Danil Baburin Head of QUIK development
  2. 1 ARQA Technologies key facts Leading independent financial software provider

    in Russia and CIS 17 years on the market 250+ client base Over 100 000 end screens using it on daily basis Multi-asset, broker-neutral and market neutral OEMS Risk management solutions Trading access to 30+ major venues worldwide 1. 2. 3. 4. 5. 6. 7.
  3. 2 Global connectivity ‘Direct’ gateways Gateways via technological partners KASE

    HKEX SGX BOVESPA NASDAQ NYMEX NYSE NYMEX TSX TSX Venture Exchange ICE NASDAQ ОMX Euronext XETRA Eurex Eurex Bats Europe TR Spot Matching EBS Spot FX Turquoise LSE LSE LIFFE Turquoise Bats Europe MOEX SPIMEX SPB UX WSE WSE CBOT/CME/COMEX CBOT/CME/COMEX Oslo Børs
  4. 3 Data tier Application tier Presentation tier Typical 3-tier architecture

  5. 4 Data stored in Application tier Data tier Application tier

    Presentation tier
  6. 5 Data tier Application tier Presentation tier Exchanges Feed handlers

    Application server Dissemination layer Tier structure
  7. 6 Data tier Presentation tier Business logic modules Exchanges Feed

    handlers Application tier Application server Dissemination layer
  8. 7 Data tier Application tier Presentation tier Business logic modules

    Exchanges Feed handlers SOR Spreader ALGO Application server Dissemination layer
  9. 8 Data tier Application tier Presentation tier Business logic modules

    Exchanges Feed handlers Application server Dissemination layer SOR ALGO Spreader
  10. 9 Gateway protocol User protocol Data tier Application tier Presentation

    tier Business logic modules Exchanges Feed handlers Application server Dissemination layer
  11. 10

  12. 11

  13. 12

  14. 13 Modular approach About 170 modules in all (including legacy),

    120 modules in the current pricelist On average, 20 modules in production pipeline 3 to 5 releases every week 30 development, 15 testing, 15 support staff Key facts
  15. 14 Modular approach Specialization Architectural integrity Distributed ownership Immediate request

    segregation General rules of interaction
  16. 15 Modular approach Available test environment Repeatable conditions Reference results

    Automatic regression checks exchange simulators set of options to straighten data flow comparison with previous version What contributes to successful testing
  17. 16 Modular approach Separate risk modules for each asset class

    VS Single risk module for portfolio margining Exceptions
  18. None