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Differences between Financial and Telecom Network Environment
Kamatchi Gopalakrishnan
Distinguished Engineer
Agenda
Telecom
versus
Financial
Network
Summary
Network
Time-sync
Time-sync
Profile
comparison
Time-sync basics and requirements 1
Synchronization overview
TA=1/fA
TB=1/fB
fA=fB
t
t
TA=1/fA
TB=1/fB
fA=fB
Frequency Synchronization
Phase Synchronization
A
B
01:00:00
fA=fB
Time Synchronization
01:00:10
01:00:00 01:00:10
A
B
Aligning clocks with respect to frequency
Aligning clocks with respect to phase
Aligning clocks with respect to time.
A
B
FDD application TDD application FSI application
Synchronization methods and options
GNSS (GPS, GLONAS,
Galileo, BeiDou)
NTP
SONET/SDH, Sync-E
PTP
- Jamming, Spoofing, RF factors
- Expensive
- Line of site issue
- Good for milliseconds
- Not good for high precision
- Not for phase or time sync
- Every node must support
- High precision – Phase,
Frequency and Time
Telecom versus FSI network timing requirements
Telecom network FSI network
Frequency and/or phase sync Time of day (ToD) sync
UTC traceability not a must. Arbitrary time source is acceptable
UTC traceability is must (ESMA) or NIST traceability in US (SEC)
Ranges from 100nsec to order of microseconds – depends on MBH applications
Must be less than 100usec from UTC (ESMA)
Operational requirements Regulatory requirements
Timing in Telecom versus Financial network 2
Telecom versus FSI network model comparison
Telecom network model FSI network model
Multiple administrative domain (Mostly) Single or few cases multiple administrative domain
Network services and transports not in control of single admin
Controlled network services and transports
No direct leverage to upgrade network segments
Leverage to upgrade/modify network segment
Downtime causes financial impact Downtime causes both financial and regulatory impact
Timing is operational requirement Timing is a regulatory requirement
Telecom – Multi Operator network
Access
Network
Backhaul Network
Mobile Core
Network
GNSS
Core GM
Operator-1 Operator-2 Operator-3
End to End 1.5 microsecond
Mobile Phone roaming between cell-sites
BS2
BS1
BS2 BS1
+/-50 ppb
+/-50 ppb
BS2 drifts outside 50ppb window
Mobile cannot lock to BS2, call dropped
Phase (TDD) and Frequency (FDD) sync
Cell tower
Handset
Send to handset at frequency F1
Send to tower at frequency F2
Frequency Division Duplex
Tower Hand Tower Hand Tower F1
Time
Cell tower
Handset
Time: 12:00.01 Send to handset at frequency F1
Time: 12:00.05 Send to tower at frequency F1
Time Division Duplex
Tower F1
Time
Handset F2
Requires: accurate frequency
Requires: accurate frequency & phase
Mobile application phase sync requirements
(Frequency : 16 ppb/ 50 ppb)
Application Phase
CDMA2000 +/-3 us to +/- 10 us
LTE-TDD +/- 1.5 us (< 3KM cell radius) +/- 5 us (> 3KM cell radius)
LTE MBMS (LTE-FDD and LTE-TDD) +/- 10 us
LTE-A CoMP +/- 0.5 us to +/- 1.5 us
LTE-A eICIC +/- 1.5 us to 5 us
E911 and Locating services +/- 0.1 us
Small cells +/- 3 us (1 to 5 us) with 100 to 250 ppb
Financial Network – Single Operator Domain
• 10 / 100 thousand servers.
• Boundary Clocks to serve group of servers
•
MARKET DATA FEED
Compute Cluster Interconnect
HFT SERVERS
BACK END COMPUTE CLUSTER
EXCHANGE
MONITORING APPLICATIONS
EXCHANGE CUSTOMERS
Synchronization flow model
Spine
Switches Leaf
Switches
Gateway
routers
Time Legality
• How do you prove that something
happened before (or after) a certain
time?
• How do you correlate events across a
large/global network?
Time-sync requirements in FSI (MiFID-2/ESMA)
• RTS 25 of Regulatory and Implementing standards – annex 1
• Adopted regulatory requirements
Reference Time – UTC traceable
Compliance with maximum divergence requirements
Level of accuracy for operator of trading venue
Gateway-to-Gateway latency
Maximum divergence from UTC
Time stamp Granularity
> 1 millisecond 1 millisecond 1 millisecond or better
=< 1 millisecond 100 microseconds 1 microsecond or better
Profile comparison 3
Telecom Financial/Ente
rprise
What are profiles?
• Timing profiles are subset of requirements derived from IEEE1588 specification.
• Targeted for particular application to achieve required synchronization goals in most reliable and interoperable way.
• Different Timing profiles: Telecom profile – Mobile Backhaul applications
Enterprise profile – Enterprise/DC and financial application
802.1AS/AVB profile – Audio/Video in bridged network
SMPTE-2059-2 profile – IP based video broadcasting network
Telecom versus Enterprise profile
• PTP over Ethernet Multicast
• Sync-E + PTP combined mode
• Phase accuracy in microseconds
• Fixed PTP packet rates
• Alternate Best Master Clock Algorithm (ABMCA)
• No Unicast Negotiation
• PTP over IPv4 or IPv6 Multicast
• Plain PTP mode
• Time of day (less than 100us UTC)
• Configurable packet rates
• 1588 default Best Master Clock Algorithm
• Unicast negotiation allowed
Enterprise Profile Telecom Profile
Summary 4
Summary - Precision Timing Challenges
• Packet Delay Variation
• Scaling - Number of PTP clients support
• Number of hops between GM and End Slave nodes
• Precision Performance Monitoring
• Overlay versus Inline synchronization flow
Thank you
Backup slides
Case1 - Accuracy in Hi-FREQ algorithmic trading
Algorithmic Trading Servers
Algorithmic Trading Servers
T1 Trade Execution
Timestamp
Market Data Creation Servers
Market Feed Generator Servers
When a trade executes, a timestamp is generated by the trade execution server
1 The trade execution data is sent to the market data creation servers
2 T2 Market Data Creation
Timestamp
The market data creation servers generate a timestamp when new market data is created
3 The market data is sent to the feed generator servers
4 T3 Market Feed Timestamp
The market feed generator servers timestamp the feed which they send out
5
The market feed reaches the customers’ algorithmic servers with the three timestamps embedded
6
T3 Market Feed Timestamp
T2 Market
Data T1 Trade Data
With NTP precision, often T3 < T2 < T1 – ie, market data is sent before it is created and even before the trade has been settled! Algorithms are confused leading to lost business and angry customers for the exchange
7
With PTP, exchanges can achieve better precision (1 us or less) that will let them fix this problem
Trade Execution Servers
Algorithmic Trading Servers
Case-2: End To End Latency Analysis
Market data feed BGP/OSPF IP Multicast
HFT servers HFT servers
• In HFT, latency is king
• Different latency components
• PTP based timing to correlate
measurements across nodes
Case 3: logging for regulatory reasons
Market data feed BGP/OSPF IP Multicast
HFT Algorithmic Trading Servers
Precise timing provided by 1588 is needed to achieve accuracy in logging operations to alleviate regulatory problems
Customer Trade Requests Buy request arrives from Customer X for IBM options at
server A – timestamped with T1, record sent to the logging server
1
T1 Customer X Buy IBM @250
Logging Server
A B C
Trade is executed (“filled”) by server A at time T2 – log record sent to logging server 2
T2 Customer X Fill IBM @250
Buy request arrives from Customer Y for IBM options at server C – timestamped with T3, record sent to the logging server
3
T3 Customer Y Buy IBM @251
With NTP precision, it might be that T3 < T1 < T2, so this is how the log looks like when read after the fact: 4
Raises regulatory concerns around fair trading
MiFID-2/ MiFIR and ESMA • MiFID – Markets in Financial Instrument Directive
• MiFIR – Markets in Financial Instrument Regulation
• ESMA – European Security Market Authority
• Regulatory Technical Standard (RTS)
• Implementing Technical Standard (ITS)
• Imposes: Fairer, safer and more efficient markets
Greater transparency
Stronger investor Protection
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