the new generation of itinvest trading system architecture and capabilities
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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
MICEX Gate
System Kernel
“Old” architecture
FORTS Transactional
Gate
2
OrdersMarket
dataPositions
Deals
Load Balancing
Access Servers
Client Terminal
OtherGates
FORTS Info Gate
OtherGates
“Old” architecture
3
10-30 мс
15-45 мс
1 мс 10 мс
Roundtrip:
30 – 90 msClient Terminal
Access Servers
FORTS Transactional
Gate
FORTS Info Gate
System Kernel
MICEX Gate
“Cloned” trading platforms 4
Load Balancing
Access Servers
System Kernel
Gates
Trading System 1
Trading System 2
“Old” system drawbacks5
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
New architecture
6
3 - 8 мс
1 мс 1 мс 400 мкс
Order management
Riskmanagement
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
“Old” trading system7
Module Functionality Software
SmartServer Users authorization and orders pre-validation Distribution of trading- and market- data
Apache + Linux
System Kernel Portfolio managementOrder validationRisk Management,History
Linux + SQL
Exchange Gates Connection with external systems Windows
“Old” trading system8
Module Functionality Software
OMS (Order Management Server)
Orders validation Execution Reports
Apache + Linux + Bercley DB
DDP (Data DistributionPoint)
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
New system - benefits10
1. Data flow split between functional groups2. It is easier to scale up the system now3. Increase trading system’s reliability4. Management and monitoring system was
implemented5. We implemented a single cash account
New trading system history6
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
Perspectives11
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)
We look forward12
Thank you!
www.itinvest.ru
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