The New Generation of ITinvest Trading System Architecture and Capabilities

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

Transcript

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

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

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3. “Old”
   architecture 3
   10-30 мс
   15-45 мс
   1 мс
   10 мс
   Roundtrip:
   30 – 90 ms
   Client Terminal
   Access Servers
   FORTS
   Transactional
   Gate
   FORTS
   Info Gate
   System Kernel
   MICEX Gate
   

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4. “Cloned” trading platforms
   4
   Load Balancing
   Access Servers
   System Kernel
   Gates
   Trading System 1 Trading System 2
   

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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
   

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6. New
   architecture
   6
   3 - 8 мс
   1 мс 1 мс 400
   мкс
   Order management
   Risk
   management
   Data
   distribution
   Algo
   Gates
   Client
   Terminal
   Load Balancing
   Trading Services Bus
   FORTS Gates MICEX Spot Gates MICEX Cur Gates LSE Gates
   Roundtrip:
   3 – 10 ms
   

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7. “Old” trading system
   7
   Module Functionality Software
   SmartServer Users authorization and orders pre-
   validation
   Distribution of trading- and market- data
   Apache + Linux
   System Kernel Portfolio management
   Order validation
   Risk Management,
   History
   Linux + SQL
   Exchange Gates Connection with external systems Windows
   

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8. “Old” trading system
   8
   Module Functionality Software
   OMS
   (Order Management
   Server)
   Orders validation
   Execution Reports
   Apache +
   Linux +
   Bercley DB
   DDP
   (Data Distribution
   Point)
   Distribution of all data types Apache +
   Linux +
   Bercley DB
   RMS
   (Risk Management
   Server)
   Limits calculation Linux + SQL
   Trading Services Bus Integration and Service management Data Power
   XM-70+
   IBM Websphere
   MQ LLM
   

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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
   

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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
    

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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)
    

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

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