Real-time Market Surveillance Real-time Market Surveillance for FX Marketsfor FX Markets

Quality Assurance & Related Software Development for Innovative Trading SystemsTel: +7 495 640 2460, +1 415 830 38 49www.exactpro.com

GATElab, PROGNOZ, ExactproGATElab, PROGNOZ, Exactpro11 November 201511 November 2015

2 Quality Assurance & Related Software Development for Innovative Trading Systems Tel: +7 495 640 24 60 , +1 415 830 38 49 www.exactpro.com

Algorithmicpath

Market Events

algorithmicpath

BusinessApplications

• Automated trading

• Position keeping

• Hedging• Risk mgmt• Pricing• Compliance

Historical Data

Internal Events

Algorithmicpath

is a platform for fast and easy development of high speed, low latency applications on real-time and historical data

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3Exactpro Systems, LLC Quality Assurance & Related Software Development for Innovative Trading Systems Tel: +7 495 640 24 60 , +1 415 830 38 49 exactpro.com

Testing & debugging

• Maintaining state• Multithreaded• Integration: messaging,

app. servers, RDBMS• Processing historical and

live data• Synchronization• Load distribution and

balancing• Interface with data feeds• Performance

optimization

Application Logic

Custom canonical coding Coding wth algorithmicpath

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• Faster processing speed

• Rapid prototyping, • Time-to-market strongly

reduced • Complex problem

solution in a lower-risk

The algorithmicpath processing engine is the leading platform for creating • high-speed, • high-volume, • low-latency automatic strategies

Testing & debugging

Application Logic

Features synthesis

4Exactpro Systems, LLC Quality Assurance & Related Software Development for Innovative Trading Systems Tel: +7 495 640 24 60 , +1 415 830 38 49 exactpro.com

Writing and running strategies

Extended compiled PYTHON (dll, lib)•as host language to write actions co-related to, graphically defined ANDed or ORed events,•multithreading•high performance by compiling final version of strategies•extended by GATElab•extensible by end-users•easy and fast to use (1 week canonical dev. reduced to 30 mins)

Graphical IDE or Control Panel

Event definitons

Related Actions Definitions

Actions Implementation

Strategiestesting-debuggingexecution

strategies as a ∑ of ANDed, ORed events and related actions

5Exactpro Systems, LLC Quality Assurance & Related Software Development for Innovative Trading Systems Tel: +7 495 640 24 60 , +1 415 830 38 49 exactpro.com

Graphical IDE event panel

Point & Click editor

to graphically depict ANDed, ORed Events-Actions behaviour of the strategy with input, state and relation parameters

6Exactpro Systems, LLC Quality Assurance & Related Software Development for Innovative Trading Systems Tel: +7 495 640 24 60 , +1 415 830 38 49 exactpro.com

Graphical IDE action panel

Action Editor

Onec graphically depict ANDed, ORed Events-Actions behaviour, each specific action of the strategy can be easily written using standard Python language

7Exactpro Systems, LLC Quality Assurance & Related Software Development for Innovative Trading Systems Tel: +7 495 640 24 60 , +1 415 830 38 49 exactpro.com

Strategies cooperation

High performance proprietary MOM

Strategy Manager Server

Strategy Manager client• Thanks to distribution of

• Strategies• Adapters (Market,,

Historical data, others)

• Over an intranet and/or extranet, by using respectively• Distributed memory

blackboard• High Performance

Message Oriented Middleware

• Each strategy can:• Be deployed remotely in

co-location with the used markets

• Cooperate with other local or remote strategies, exchanging events and data

• Be monitored by a trader front-end

inter-intra strategy memory

blackboard

Access interface

Enhanced Python Environment

High performance proprietary MOM

Strategy Manager Server

inter-intra strategy memory

blackboard

Access interface

Enhanced Python Environment

markets internal data historic data markets internal data historic data

8Exactpro Systems, LLC Quality Assurance & Related Software Development for Innovative Trading Systems Tel: +7 495 640 24 60 , +1 415 830 38 49 exactpro.com

Strategies cooperation

Strategy Manager client • Strategies deployed in Frankfurt to monitor Eurex for signaling events to other sites and waiting for remote signals, coming from London and New York strategies, to perform local actions

• Strategies deployed in London and New York to monitor local markets perform local actions based on remote incoming signals, send events to Frankfurt strategies to perform remote actions

Frankfurt

London

New York

London

9Exactpro Systems, LLC Quality Assurance & Related Software Development for Innovative Trading Systems Tel: +7 495 640 24 60 , +1 415 830 38 49 exactpro.com

Exchangepath:“matching in a box”

User GatewaysTransaction Router - Master

Matching & Info Engine Master

2 Nodes: 24 cores – 64GB RamLRH Enterprise

1TBSAN

Matching & Info Engine Slave

Price Disseminator Engine Master

Price Disseminator Engine Slave

User GatewaysTransaction Router - Slave

The exchangepath®

matching-in-a-box system is available in the following configurations:

•one server only acting as master: no master/slave fault recovery is available•two servers: one acting as master and the other acting as slave

10Exactpro Systems, LLC Quality Assurance & Related Software Development for Innovative Trading Systems Tel: +7 495 640 24 60 , +1 415 830 38 49 exactpro.com

Functional aspects

• Order driven and quote driven capabilities for FX/equities/bonds market-place

• Specially designed for low CAPEX and OPEX and H24/7 availability

• Continuous negotiation and/or auction phases

• Different types of orders (even complex like iceberg, etc.) and their management

• Quote, single or double or massive, and their management

• Execution reports & market data preparation and dissemination

11Exactpro Systems, LLC Quality Assurance & Related Software Development for Innovative Trading Systems Tel: +7 495 640 24 60 , +1 415 830 38 49 exactpro.com

Non - Functional aspects

• Support for more than 150,000 instruments (depending on the deployment scenario) per partition

• Slave (passive) matching engine sync alignment

• All relevant data written onto disks (no RDBMS needed)

• Native API and FIX interfaces to manage transactional requests

• epMDI (exchangepath ITCH like market data interface) to disseminate market data

• Latency provided by the system is significantly below 100 µs

12Exactpro Systems, LLC Quality Assurance & Related Software Development for Innovative Trading Systems Tel: +7 495 640 24 60 , +1 415 830 38 49 exactpro.com

Configuration & supervision/surveillance aspects

• Member, groups, users configuration and management

• Instruments, segments-sectors configuration and management

• Market calendar configuration and management

• Market restrictions configuration and management

• Trading periods and phases handling per segments, sectors, instrument configuration and management

• Trading operational limits (i.e. price deviation, price/quantity tick deviation) configuration and management

• Entry level surveillance activities (i.e. queries, deletion, suspension, activation) configuration and management

• Sophisticated surveillance rules via external algo system (GATElab algorithmicpath platform)

Thank you

13 Exactpro Systems, LLC Quality Assurance & Related Software Development for Innovative Trading Systems Tel: +7 495 640 24 60 , +1 415 830 38 49 exactpro.com