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The New Generation of ITinvest Trading System Architecture and Capabilities

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

Exactpro

March 04, 2013
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  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

    View full-size slide

  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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