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
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
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
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 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
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
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
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