![Page 1: Extent 2013 Obninsk New Trading System: Architecture and Capabilities](https://reader034.vdocument.in/reader034/viewer/2022051818/54c35e8c4a795940498b459a/html5/thumbnails/1.jpg)
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
![Page 2: Extent 2013 Obninsk New Trading System: Architecture and Capabilities](https://reader034.vdocument.in/reader034/viewer/2022051818/54c35e8c4a795940498b459a/html5/thumbnails/2.jpg)
MICEX Gate
System Kernel
“Old” architecture
FORTS Transactional
Gate
2
OrdersMarket
dataPositions
Deals
Load Balancing
Access Servers
Client Terminal
OtherGates
FORTS Info Gate
OtherGates
![Page 3: Extent 2013 Obninsk New Trading System: Architecture and Capabilities](https://reader034.vdocument.in/reader034/viewer/2022051818/54c35e8c4a795940498b459a/html5/thumbnails/3.jpg)
“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
![Page 4: Extent 2013 Obninsk New Trading System: Architecture and Capabilities](https://reader034.vdocument.in/reader034/viewer/2022051818/54c35e8c4a795940498b459a/html5/thumbnails/4.jpg)
“Cloned” trading platforms 4
Load Balancing
Access Servers
System Kernel
Gates
Trading System 1
Trading System 2
![Page 5: Extent 2013 Obninsk New Trading System: Architecture and Capabilities](https://reader034.vdocument.in/reader034/viewer/2022051818/54c35e8c4a795940498b459a/html5/thumbnails/5.jpg)
“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
![Page 6: Extent 2013 Obninsk New Trading System: Architecture and Capabilities](https://reader034.vdocument.in/reader034/viewer/2022051818/54c35e8c4a795940498b459a/html5/thumbnails/6.jpg)
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
![Page 7: Extent 2013 Obninsk New Trading System: Architecture and Capabilities](https://reader034.vdocument.in/reader034/viewer/2022051818/54c35e8c4a795940498b459a/html5/thumbnails/7.jpg)
“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
![Page 8: Extent 2013 Obninsk New Trading System: Architecture and Capabilities](https://reader034.vdocument.in/reader034/viewer/2022051818/54c35e8c4a795940498b459a/html5/thumbnails/8.jpg)
“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
![Page 9: Extent 2013 Obninsk New Trading System: Architecture and Capabilities](https://reader034.vdocument.in/reader034/viewer/2022051818/54c35e8c4a795940498b459a/html5/thumbnails/9.jpg)
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
![Page 10: Extent 2013 Obninsk New Trading System: Architecture and Capabilities](https://reader034.vdocument.in/reader034/viewer/2022051818/54c35e8c4a795940498b459a/html5/thumbnails/10.jpg)
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
![Page 11: Extent 2013 Obninsk New Trading System: Architecture and Capabilities](https://reader034.vdocument.in/reader034/viewer/2022051818/54c35e8c4a795940498b459a/html5/thumbnails/11.jpg)
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)
![Page 12: Extent 2013 Obninsk New Trading System: Architecture and Capabilities](https://reader034.vdocument.in/reader034/viewer/2022051818/54c35e8c4a795940498b459a/html5/thumbnails/12.jpg)
We look forward12
Thank you!
www.itinvest.ru