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Иткин Иосиф Леонидович. Типичная архитектура биржевой системы

Иткин Иосиф Леонидович. Типичная архитектура биржевой системы

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Exactpro
PRO

July 07, 2021
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  1. 1 BUILD SOFTWARE TO TEST SOFTWARE ИШИТР ТПУ Летняя школа

    по финансовым технологиям Иосиф Иткин, Exactpro Типичная архитектура биржевой системы 05.07.2021 — 09.07.2021
  2. 2 BUILD SOFTWARE TO TEST SOFTWARE Contents 1. Introduction 2.

    Exchange Platform Samples 3. Processes, Platforms and People 4. Low Latency and High Throughput 5. Exchange Components 6. Scalability and Limitations 7. Q&A
  3. 3 BUILD SOFTWARE TO TEST SOFTWARE Introduction • Started IT

    career 20+ years ago as a software developer • Moved into performance and load testing in 2006 • Co-founded Exactpro on 9th September 2009 • Head of LOST (Laboratory of Software Testing) at Tomsk Polytechnic University • Co-chair of FIX Trading Community MOST Working Group (Monitoring, Onboarding and Software Testing) • TMPA Tools & Methods of Program Analysis Conference
  4. 4 BUILD SOFTWARE TO TEST SOFTWARE About Exactpro A specialist

    firm focused on functional and non-functional testing services for financial market infrastructures, financial and non-financial institutions. Headquartered in the UK with operations in the US, Georgia, Russia, Lithuania and Sri Lanka. Most of our clients are regulated market infrastructures. Exactpro provides independent software testing services for mission critical technology that underpins global financial markets. The firm is experienced with trading and clearing & settlement platforms, risk management systems, central data warehouses, accounting and treasury systems, regulatory reporting. Incorporated in 2009 with 10 people, Exactpro now employs over 650 specialists. Part of the London Stock Exchange Group (LSEG) from May 2015 until January 2018, when the Exactpro management proceeded through the buyout of the company from LSEG.
  5. Confidential Exactpro Provides Quality Assurance of Athens Stock Exchange’s OASIS

    Trading System OASIS trading system (excerpt from the ATHEX FY 2018 Annual Financial Report) “The key milestones in the development of the OASIS trading system was the implementation of the project Quality Assurance with the company Exactpro, development of OASIS version 5.1 which includes: a) certain corrections from version 5.0 (MiFID II); b) improvements as a result of the implementation of the Quality Assurance project in 91) and migration of CDB to Oracle version 12c & APEX version 5.1.” https://www.athexgroup.gr/documents/10180/5412344/ATHEX_FY_2018_Fin_Stmts_%CE%95%CE%9D_Versi on_13_%28329%29_B.pdf
  6. 6 Build Software to Test Software exactpro.com Confidential exactpro.com Exactpro

    Collaborates with Australian Securities Exchange (ASX) to Conduct Functional, Non-functional Testing and Test Automation for ASX’s New Trading Platform. https://exactpro.com/news/exactpro/interview-disruptive-technologies-and-blockchain
  7. 7 Build Software to Test Software exactpro.com Confidential exactpro.com The

    Johannesburg Stock Exchange (JSE) - Exactpro collaboration to test the Millennium Exchange™ trading platform "I have been receiving very positive feedback from my JSE teams about their work with Exactpro. The automated testing solutions allow us to perform in-depth testing to ensure software quality before deploying into live service,” says Hendrik Kotze, Chief Information Officer, JSE. “We will continue our collaboration with Exactpro who help us with quality deliverables to ensure that the JSE continues offering reliable, secure and efficient capital markets across a diverse range of instruments, supported by cost-effective services”. https://exactpro.com/ideas/white-papers/exactpro-jse-collaboration-test-millennium-exchangetm-platform
  8. 8 Build Software to Test Software exactpro.com Confidential exactpro.com Robert

    Bose, Chief Technology Officer at LedgerEdge: “We are passionate about delivering the future of corporate bond trading. As we get closer to launch, it’s necessary to have a trusted partner to help us test our operational resilience and ensure we can meet the demands of the market. Exactpro’s bespoke tools and methods will enable us to achieve this, and we are excited to see the results of our collaboration.” LedgerEdge Selects Exactpro to Deliver Resilience for its Distributed Ledger Enabled Corporate Bond Trading Ecosystem. Confidential exactpro.com https://exactpro.com/news/exactpro/ledgeredge-selects-exactpro-deliver-resilience-its- distributed-ledger-enabled
  9. 9 Build Software to Test Software exactpro.com Confidential exactpro.com Skytra

    selects Exactpro to test its new derivatives trading software Jeremy Norwood, CIO of Skytra: “Our timescales for launch are challenging, and we needed an experienced IT partner who could help us ensure that the delivered software works as per our business, operational and regulatory requirements. Exactpro will conduct a number of independent, unbiased functional and regression test cycles as part of our overall delivery programme. I am confident that Exactpro, with its proven track record of successful delivery of quality assurance projects for the financial services industry, will provide exceptional service for Skytra.” https://exactpro.com/news/exactpro/skytra-selects-exactpro-test-its-new-derivatives-trading-software
  10. 10 BUILD SOFTWARE TO TEST SOFTWARE Zero Outage Industry Standard

    (ZOIS) • Platforms • People • Processes • Security
  11. 11 BUILD SOFTWARE TO TEST SOFTWARE What makes us different

    The Value of Understanding Your Technology Assets Technology is the main asset of every modern company. We help our clients build, operate and transform their technology to increase its value. Our Deliberate Practice of Software Testing approach is based on modelling the entire system under test (SUT), which allows us to create test libraries that serve as an executable specification for the highly complex platforms we test. This is a ‘deliberate’ practice, meaning that it is systematic and focused on achieving the specific goal of improving our capacity of extracting information about the SUT. https://www.fixtrading.org/wp-content/uploads/2021/06/Pre-Event-Magazine-EMEA-Trading- Conference-2021.pdf Read more in Mikhail Kurkov’s article on The Value of Understanding Your Technology Assets in the exclusive FIX Trading Community pre-event EMEA Trading Conference 2021 magazine.
  12. 12 BUILD SOFTWARE TO TEST SOFTWARE Delivers end-to-end automated functional

    and non- functional testing of complex financial systems Enables intelligent interaction with many widely adopted network protocols as well as API, UI, DLT and cloud endpoints Executes sophisticated test algorithms Collects and processes distributed test data (for machine learning and other purposes) Performs model-based testing and analyses the behaviour of systems under test Integrates with a variety of widely adopted test tools and frameworks via its open interface Is an open-source solution; th2 source code is available on GitHub exactpro.com Platform and Technology Agnostic Customised for Financial Systems Unified Data Warehouse Deliberate Practice of Software Testing AI-driven Strategic Data Acquisition Pervasive Automation Opportunities “th2 represents the next generation of automated testing platforms. We believe its usage will eventually transform the way firms approach their functional and non-functional testing processes. We look forward to rolling the framework out over the coming months and developing further use cases with our clients and partners.” has been successfully deployed in a number of use cases. Its first adopter – Airbus' subsidiary Skytra – harnessed the technology for its derivatives trading software. Its most recent implementation was for ML-driven testing of Quod Financial’s technology READ MORE th2 Next-generation Test Automation Framework
  13. 13 BUILD SOFTWARE TO TEST SOFTWARE People: Human Competencies for

    Delivering Mission Critical Systems Exactpro builds software to test software to be able to verify complex systems that underpin global financial markets. To ensure the required level of services is being met, we follow a battle-tested standards in our human capital development strategy. The standards constitute a collection of best practices enabling IT professionals to plan, build, deliver and run end-to-end IT solutions suited for the most critical business functions and processes. The strategy’s main emphasis is placed on going beyond technology and emphasizing that not only platforms, processes, and security essential to IT services, but that people are the backbone of every organization and every project.
  14. 14 BUILD SOFTWARE TO TEST SOFTWARE Our Clients – 10

    of the World’s Top 20 Systemically Important Exchanges and Clearing Houses
  15. 15 Build Software to Test Software exactpro.com Confidential exactpro.com Equiduct

    Engages Exactpro in Quality Assurance of its Software Matt Stupple, CTO of Equiduct: “As an Exchange known for innovation and stability, rigorous testing of new software is critical to the continued development of the platform. We have been very happy with the Equiduct-Exactpro relationship and the quality of software we have been able to deliver on time and within budget.” https://exactpro.com/news/exactpro/equiduct-engages-exactpro-quality-assurance-its-softwarehttps:
  16. 16 Build Software to Test Software exactpro.com Confidential exactpro.com Non-Functional

    Testing for Aequitas NEO Exchange, Canada's next- generation stock exchange Karl Ottywill, COO of Aequitas NEO Exchange, said: “Because technology is something where you can never have one hundred percent guarantee, it’s all about mitigating, managing and minimizing risk. Exactpro has been a reliable partner in our efforts to do so, working with us to test our trading engines and simulate any potential risks so we can get ahead of them.” https://exactpro.com/news/exactpro/exactpro-will-deliver-new-version-its-market-data-simulation-and-non-functional
  17. 17 Build Software to Test Software exactpro.com Confidential exactpro.com Exactpro

    Supports Launch of MEMX into the U.S. Equity Market with Quality Assurance Testing “MEMX’s close collaboration with Exactpro provided additional operational resilience and contributed to the exchange’s seamless launch, rollout and, ultimately, live trading in all NMS symbols,” said MEMX Chief Technology Officer Dominick Paniscotti. “We greatly appreciate Exactpro’s partnership in working to ensure the exchange’s technology was ready to perform at full capacity from day 1.” Read our latest Case Study: MEMX-Exactpro Collaboration on Exchange Quality Assurance https://exactpro.com/news/exactpro/exactpro-supports-launch-memx-us-equity-market-quality-assurance-testing
  18. 18 Build Software to Test Software exactpro.com Confidential exactpro.com Exactpro

    Supports DEX with Institutional Grade Infrastructure Leon Smith, CEO of DEX: “Our goal is to provide market access to digital assets for the global markets in a transparent, regulated and secure environment. We have worked extensively with the team at Exactpro to ensure our platform performs to the highest standard at parity with institutional grade market infrastructures deployed in capital markets at present”. https://exactpro.com/news/exactpro/exactpro-supports-dex-institutional-grade-infrastructure
  19. 19 Build Software to Test Software exactpro.com Confidential exactpro.com ZUBR

    to Become the First Live Digital Derivatives Platform to Have Been Successfully Tested by Exactpro Ilgar Alekperov, CEO of ZUBR: “Crypto exchanges and trading opportunities have been changing over the course of the last few years. “The current trading environment is becoming more advanced, with additional diversified products and strategies being introduced to stay competitive. We have been building our new trading platform with that in mind and realized early in our software delivery process that we needed thorough and independent software testing to prove that our new platform is fit for purpose for go-live. Exactpro has delivered that for us.” https://exactpro.com/news/exactpro/zubr-become-first-live-digital-derivatives-platform-have-been- successfully-tested
  20. 20 BUILD SOFTWARE TO TEST SOFTWARE Two Main Factors Latency

    and Throughput Requirements Alternative Execution Venues Algo Trading Systems
  21. 21 BUILD SOFTWARE TO TEST SOFTWARE Latency and Throughput Requirements

    Daily capacity - 100+ mln transactions Peak rates - 40k+ transactions per second Average round-trip latency - <100 microseconds 3000 trx 2.5 cm <1 mm
  22. 22 BUILD SOFTWARE TO TEST SOFTWARE Exchange Components

  23. 23 BUILD SOFTWARE TO TEST SOFTWARE A distributed application is

    a program that runs on more than one computer and communicates through a network. Each block on the graph is a component (aka microservice) of an exchange software platform. Modern Exchange Platform is a Distributed Application
  24. 24 BUILD SOFTWARE TO TEST SOFTWARE Modern Exchange Platform is

    a Distributed Application Advantages of distributed architecture: • Horizontal Scalability • Absence of a single point of failure Disadvantages: • Each network hop increases response time • Adds additional complexity
  25. 25 BUILD SOFTWARE TO TEST SOFTWARE • Gateway is a

    component that serves as an entry point for clients. • Gateway authenticates the clients. • Gateway validates integrity of incoming messages before sending them down the system. • Gateway translates trading protocol into exchange’s internal protocol and vice versa. Gateway Client Other components Gateway
  26. 26 BUILD SOFTWARE TO TEST SOFTWARE Order Path Client Exchange

    (Private network) Market Data Request Response Traders connect to the exchange using trading protocol over a network transport protocol Gateway #1 Gateway #2 Gateway #3 Market Data Gateway
  27. 27 BUILD SOFTWARE TO TEST SOFTWARE • Matching Engine (or

    simply ME) is the core of an exchange. It matches sell and buy side orders resulting in trades. • Order matching is performance demanding (and critical) task. That’s why functions of Matching Engine are sometimes split between several components. • Most common examples of such ME “helpers” are Order Routing and Post Trade components. Matching Engine
  28. 28 BUILD SOFTWARE TO TEST SOFTWARE Trading platforms utilise databases

    to store reference data such as: • System configurations • Client information • Instrument information • Market schedule • Trades Database
  29. 29 BUILD SOFTWARE TO TEST SOFTWARE Order Path Client Exchange

    Gateway #1 Gateway #2 Gateway #3 Order Router #1 Order Router #2 Matching Engine #1 Matching Engine #2 Database Market Data Gateway Market Data Request Response
  30. 30 BUILD SOFTWARE TO TEST SOFTWARE Parallel computing is a

    practice of creating duplicates of the same component to burst performance. Parallel Computing allows the platform to scale horizontally. Usually load is split across several processing nodes based on the Instrument’s ID. Parallel Computing Matching Engine #1 Matching Engine #2 Gateway Incoming orders
  31. 31 BUILD SOFTWARE TO TEST SOFTWARE Most exchange platforms utilize

    CLOB (central limit order book) as main trading method. This concept bounds processing of a certain trading instrument to a specific processing node. This means that: • It’s not possible to have more Matching Engines than instruments. • It’s not possible to use multiple Matching Engines to process the same instrument. Parallel Computing Limitations Matching Engine #1 Matching Engine #2 Gateway Incoming orders
  32. 32 BUILD SOFTWARE TO TEST SOFTWARE Replication is a practice

    of creating duplicates of the same component to achieve better resiliency. Mission critical components have standby (sometimes called replica) instances that are ready to pick-up processing in case of failure of the primary instance. Primary and standby instances are usually located of different servers. Process Replication / Redundancy Primary Matching Engine Standby Matching Engine Gateway Incoming orders
  33. 33 BUILD SOFTWARE TO TEST SOFTWARE Cloud vs Data center

    Data center: • Harder to maintain • Usage of co-location (placing client servers in the same data center physically close to the exchange racks) allows to minimize latency • More suitable for exchanges where most of trading activity is generated by HFT (high-frequency traders / robots) Cloud: • Easier to maintain • Provides services like RDS, Transport, Storage etc • Doesn’t allow using hardware tricks like FPGA, Core Affinity, Infiniband network etc
  34. 34 BUILD SOFTWARE TO TEST SOFTWARE Q&A Thank You