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