iSys – Latency Monitoring

10/04/2023

Who we are• Business focused technology experts using science

innovation to deliver application and technology solutions:• Systems Integration

• Exchange solutions, Algorithmic testing, Surveillance, Risk Analysis, Market data protection

• Service Provision• On Demand Latency monitoring

• Consultancy• Performance (HFT, Options/Derivatives systems, Database,

Application, Middleware, Network, Risk Analysis)• Tci audits• Data (Data Protection, Surveillance, Risk Analysis,

Compliancy)• Solution Sales

• Power, Storage, x86, Middleware, Networking, O/S, Trader workstations, Trade flow monitoring,

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Latency Use Cases• Production Monitoring & Alerting

• Operational views for 1st and 2nd level production monitoring• Includes integration with tools such as ITRS Geneos for live dashboards

• Latency Determination & Profiling• Latency profile in production and pre production environments to understand

performance

• Forensics• Deep Investigation of latency issues and root cause analysis

• Analytics• Once profiling performed then visualizing and correlating data to understand

characteristics for different parameters and use cases.

• Consultancy for troubleshooting and investigation

• Application Software Development Performance Profiling• Profiling performance with Application Software changes

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Example Deployments• Order Execution latency including Order to fill for Trade

lifecycle• Includes different order types to acknowledgement and

fill inclusion• Direct Exchange Market Data Feed latency with Gap

Detection• Extensive list of exchange protocols covered

• Algo (Tick to trade)• DMA Flow (Buy and Sell side Views)

• Sell side perspective is more hops, possible transformation and protocols involved

• Buy side could be a round trip into sell side and back but measuring performance against multiple providers

• SOR (Parent to child orders)• FX Price Creation and Distribution

• This is measuring prices from ECNs’ and Banks• Distributing prices into clients

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Example 1 – DMA Flow

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DMAClientGateway

SORClient OMS

Firewall

Venue

Extranet

• Initial hops to monitor are the connections into the Client gateway and Orders going to the venue.

• Introduction of OMS and SOR likely to involve other protocols and complex mappings so should be introduced as second phase

• Visibility of orders by type, client and Venue are useful to profile

ECN

Market DataAggregator

PricingEngine

StreamingServer

FixEngine

Prices

Middleware

Bank Price

Bank Price - Fix

Bank Price

Order - Fix

Client

Client

Client

Fix

Example 2 – FX Price Flow

• Initial hops to monitor are Prices being distributed to clients and orders being received by them.

• Correlating across the Market Data Aggregator and Pricing Engine may require instrumentation within the application to provide correlation identifier across these components.

• Visibility of prices and orders by client and ECN are usually profiled.

Example 3 - Exchange

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ClientGatewaysClients

MatchingEngine

MarketDataDistribution

ClientsOrders

MarketData

• Initial hops to monitor is Order round trip as orders comes into the Client Gateway and Market Data being generated and sent through Market Data distribution

• Correlating across the Client gateway and round trip through Matching Engine requires internal knowledge of Exchange protocols.

• Correlating Orders to Market Data is the difficult transaction but may need additional correlation identifiers through Matching Engine to be instrumented.

• Visibility of orders by Type, Client, Client Gateway and Matching Engine is usually profiled.

Requirements• Latency monitoring software to run as a physical or virtual appliance. iSys

can provide underlying hardware and FPGA capture cards• Virtual appliance requires VMware ESX with Solarflare 7x card• Hardware requirements for Virtual Appliance is Quad Core CPU, 16GB Ram,

500GB Hard Drive and Solarflare card running in pass through mode• Data to be captured on the network or via Instrumentation Offload cards.

Instrumentation Offload cards are designed to instrument within applications so require code changes to the application.

• Easiest place to capture data is from the network and further discussions are needed to determine what hops in the flow need to be directed to the Latency Monitoring Application.• Depending on the number of points to be instrumented may need an

Aggregation device to take multiple points and aggregate this traffic and direct into Latency Monitoring software

• Traffic can be taken from the network or using packet captures• Understanding of flow to be monitored, protocols involved and the

correlation required across the hops. Also need to understand message volumes

• PTP signal into capture card and traffic aggregator if used

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Management• iSys provide software which includes license fee and

support. This is the standard software model.• iSys provide a fully managed service, to deploy and manage

latency monitoring solution. This can be deployed in two ways.• Private managed where the data stays on site and client

provides VPN access into the Latency monitoring devices. This is used for production monitoring.

• Public Managed, where service hosted externally and data sent into environment as batch upload or using packet captures

• All models ensure iSys manage or assist with changes of the latency monitoring application with the client.

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Managed Service Architecture

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DMAClientGateway

SOROMSClientFirewall

Internet

LatencyMonitoring Application

VPN Server

VPN Server

iSysInfrastructure

ClientInfrastructure

Questions?

Please contact us on the following:• uksales@e-isys.com• Tel 0203 102 7980

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