CorvilNet. Latency Management System for High Performance Trading. Latency Monitoring and Compliance. Trade Latency Analysis

Transcription

1 CorvilNet Latency Management System for High Performance Trading CorvilNet is a latency management system providing nanosecond latency compliance, troubleshooting and reporting for high-performance trading. CorvilNet monitors and analyses the performance of trade order flow, market data, trading infrastructure, execution venues, and the relationship between them. The product architecture deals with the high data volume, distributed nature and real-time analysis demands of modern trading environments. CorvilNet is the only all-in-one system that provides precision monitoring and rapid troubleshooting at both the application and network layers. Proactively monitor and demonstrate to customers and business stakeholders that they are achieving best-in-class high-speed execution and low-latency delivery of market data Accurately interpret trade performance degradation and respond quickly and appropriately Independently validate latency performance for service providers, execution venues and other counterparties Leverage market data and trade order captures to support business analytics including strategy performance analysis, backtesting of algorithms, and trade compliance reporting CorvilNet delivers three key capabilities for latency and trade performance management: Latency Monitoring and Compliance Provides continuous real-time monitoring of the latency performance of trading applications, networks and services. Automatically alerts users when compliance against agreed latency service levels is violated Trade Latency Analysis Provides forensics and automated workflows for rapid troubleshooting and resolution of trade latency issues across the trade order flow, market data, trading infrastructure and the execution venues Trade Performance Database Provides a complete historical record of trades and market data with nanosecond timestamps for use in trade compliance reporting, trade performance evaluation (e.g. implementation shortfall), fill rates calculation, and backtesting algorithms trading plant order flow

2 Latency Monitoring and Compliance Provides continuous real-time monitoring of the latency performance of trading applications and infrastructure. Automatically alerts users when compliance against agreed latency service levels is violated CorvilNet pro-actively reports compliance of trade performance per-customer, per-venue and across the infrastructure. The product provides a scalable means of measuring latency to submicrosecond accuracy, either within datacenters or between datacenters and co-location facilities, without the need for external synchronization. Real-time trade application and network performance versus pre-programmed targets can be reviewed at-a-glance while any SLA violations trigger automatic alerts and advanced trouble-shooting analytics. Benefits Provide latency transparency to customers and to business stakeholders Demonstrate the delivery of high-performance market data and trade execution Verify execution venue and service provider performance versus agreed targets Key Features Real-Time Monitoring Passively monitor all trading and market data messages and packets as they traverse the trading infrastructure Self-Synchronization Measures latency to microsecond accuracy between appliances without external synchronization. Also supports GPS Latency Navigator Customizable, real-time business dashboards. Quickly build custom views per department Latency Feed Publishes real-time multicast feeds that are configurable per client, gateway, matching engine, trading algorithm, etc. Each feed can be configured to report latency, loss, message rates, microburst, and order session volumetrics Order Latency Compliance Correlate new orders, modifies, cancels, etc. with all responses for complete trade order latency analysis One-Way and Multi-Hop Application Latency Measure one-way message latency hop-by-hop across the trading infrastructure including trading gateways, feed handlers, smart order routers, etc Market Data Gap Detection Detect, capture, alarm, and report on message sequence gaps within market data feeds and publish in real-time to a dedicated live dashboard Live API Real-time access to all measured data and analytics via a web services (SOAP) API CorvilNet Platform Architecture CorvilNet 7.1 API Customizable real-time business level dashboards Historical record of trades and market data up to 1 year Interactive drilldown to individual trades, market data and network packets with nanosecond resolution CorvilNet 7.1 PCAP SDK API Platform Integration Options Web Services (SOAP) API Real-time access to all measured data and analytics Full support for filter, search, live and historical queries PCAP SDK Full range of packet capture platforms 1 Gb, 10 Gb Up to 16 TB of storage Native access to all PCAPs with nanosecond resolution Existing PCAP tools can be maintained Support for aggregation tap ingress timestamps CorvilNet Software Development Kit Decode proprietary applications and protocols Define and implement your own real-time business metrics, e.g.: fill rate

3 Trade Latency Analysis Provides forensics and automated workflows for rapid troubleshooting and resolution of trade latency issues across the entire trading plant, including trade order flow, market data, trading infrastructure and the execution venues CorvilNet monitors the trade order flow, market data and the trading network and performs real-time analysis at nanosecond timescales. It uses this analysis to build a complete and continuous record of the state of the trading plant. This allows the user to identify both the underlying cause and resolution of latency issues. CorvilNet stores the per-packet and per-trading message performance measurements for later inspection using the system s drill-down GUI for root-cause analysis. Benefits Identify and resolve trade performance issues before they impact customer relationships Reduce time and resources spent trawling through captured data to identify root causes Key Features Trade, Market Data, TCP and Network Latency Comparison Analytics Removes ambiguity and reduces time to resolve trading latency issues Order State Tracking Show all messages related to an order (modify, cancel, partial fill, etc.) helping to identify incomplete or unfilled orders Order-to-Tick Latency Real-time reporting of the latency between Orders/ Quotes submitted to a venue and the appearance of the resultant market-data update rithm Tick-to-Order Decision Latency Real-time algorithm tick-to-order latency reported from the time the algorithm receives the market data to when the a corresponding trade order is emitted Event Analysis Deep drilldown analysis to individual trading messages, market data messages, and network packets with nanosecond time precision, flexible filtering and full access to latency analytics suite Microburst Detection Programmable monitoring and analysis of trade order flow, market data and network microbursts with true peak rate detection Trade Performance Database Provides a complete historical record of trades and market data with nanosecond timestamps for use in trading compliance reporting, trade performance evaluation (e.g. implementation shortfall) fill rate calculation, and backtesting algorithms CorvilNet is architected to capture all trade orders and market data with nanosecond timestamps. All messages and their contents are decoded and stored in the database for up to 1 year. This provides a wealth of historical trading data that can be leveraged for a number of applications. For example, the implementation shortfall of executed trades can be calculated based on the full record of all trades and their associated executions with the decoded symbol, quantity and price, combined with the market data record. On-demand CSV reports containing the decoded message contents can be generated for specific time periods, trading sessions, and orders for use with external analysis tools. Similarly, fill rates for a specific algorithm or trading session can be determined. The market data store can be exported as raw packet captures with nanosecond timestamps enabling replay tools to precisely replicate market conditions for backtesting algorithms. Benefits Flexible trading strategy performance reporting for specific trading sessions or algorithms Accurate backtesting of algorithms using historical market data with nanosecond timestamps Trade compliance reporting based on a complete historical record of all trading activity Free up trading servers from the burden of logging all activity Key Features Real-Time Message Decoding Full decoding of all message contents for most trading and market data protocols Historical Database Multi-Gbps packet capture of all trade order and market data messages with nanosecond timestamps Trade Order Reporting XML and CSV reports containing the decoded message contents for selected time periods, trading sessions, trade orders and market data feeds including filtering on specific order IDs, symbols, price, etc From Nanoseconds to One Year Delivers both long term and short timescale reporting covering time ranges from one year down to nanosecond resolution Fill-Rate Analysis Tracks the state of every order and all corresponding fills to report the fill rate. This is also available in a CSV report

4 CorvilNet Unique Platform Features Scalable High Performance Platform Multi-Gbps real-time trading analytics and decoding, full traffic capture, continuous latency correlation and data summarization with nanosecond granularity on a single or distributed platform solution Distributed Time Synchronization Precision latency measurement solution across distributed networks with automated time synchronization between CorvilNet appliances using patented algorithms - with or without external synchronization Latency Navigator Provides customizable real-time department-specific views with one-click navigation to root cause analysis. Dashboard and topology views can be created to report market data gap detection and microbursts, application and network latency with nanosecond resolution, and order execution performance across multiple clients/venues Role Based Access Control (RBAC) Access to all analysis on the CorvilNet deployment can be strictly controlled through integration with the enterprise LDAP server. Access to order flow details, latency measurements and business level dashboards can be granted based on clients, venues, asset classes, trading desks or other business domains of interest. For example, individual trading dashboards can be published for the sole use of each trading desk Integrated Trading, Market Data and Network Latency Analytics Provides a single authoritative view of network and application performance. Enhances confidence in current performance and provides certainty in resolving latency issues Trade Performance Reporting The CorvilNet platform provides both end-to-end trading latency analysis and the ability to support trading performance evaluation including implementation shortfall, fill rates, and trading compliance CorvilNet 7.1 Latency Management System for Electronic Trading and Market Data Applications High Performance Trading Department specific live dashboards Real-time API for integration Real-time latency alerting Unified application and network views rithm tick-to-order decision latency Order-to-tick latency Service Providers Latency compliance reporting to clients Enhanced SLA provisioning Infrastructure sizing for low-latency service delivery Latency management for consolidated feeds and trading services Market data quality of received and offered feeds Co-Location/ Proximity Deployments Hop-by-hop order tracking End-to-end application and network latency compliance Trade order life cycle tracking Relative market data latency (e.g. data center vs. co-lo latency, A versus B feed) Order response time to each venue Market data gap detection at each site Latency compliance across service provider links Exchanges Order response time of matching engine Trade to market data update latency Market data gap detection of offered feeds Per-trade, per customer latency reporting Market data distribution bandwidth sizing Transparent inter-party latency offering Global Market Makers Liquidity Providers OMS Feed Assembler Market Data FIX Smart Order Router Trading Matching Engine Global Banks (Prime Brokerage, DMA, Prop.) Feed Assembler Market Data FIX Smart Order Router Trading Matching Engine Buy Side Feed Assembler MD Market Data FG FIX SOR Smart Order Router Trading Matching Engine

5 Financial Applications Decoder and Analysis Software Package CorvilNet s Financial Applications Decoder and Analysis software package contains real-time decoders for native trading protocols and market data feeds across most major markets. The package also includes decoders for middleware protocols and multiple versions/variants of FIX. This package is regularly enhanced by Corvil with new decoders and decoder updates which can be installed independent of product software releases. The deployment of the Financial Applications Decoder and Analysis package on the CorvilNet platform enables end-to-end, hop-by-hop trade order execution and market data latency measurements including protocol transformations. These decoders leverage CorvilNet s time synchronization functionality and scalable architecture to support application latency correlation even in distributed or multi-site deployments. Many of the trading protocol decoders also include analysis functionality such as order state tracking and fill rate reporting. For example, an order and all its related messages including modifies, partial fills, cancels, etc. are tracked in an order flow decoder. The CorvilNet product leverages this functionality to report fill rate for a given set of orders and show all messages associated with an order with corresponding nanosecond timestamps. Customers can also add their own decoders to the CorvilNet platform using the CorvilNet Software Development Kit. The CorvilNet SDK enables users to develop and enhance trading, middleware, and market data application decoders for extending the latency and trade performance analysis functionality of CorvilNet. This includes the development and test of proprietary application decoders that can be installed on CorvilNet appliances to provide full embedded decode and analysis capability for customized environments. Please see the CorvilNet SDK datasheet for further details The Financial Applications Decoder and Analysis Package includes the following decoders: Middleware: Thomson Reuters (RWF, MarketFeed), 29 West (LBM) Tibco (Tibco Rendezvous), Wombat FIX (many variants) Trading and Market Data for most venues including but not limited to: NYSE Euronext Nasdaq / Nasdaq OMX Chicago Mercantile Exchange London Stock Exchange Deutsche Boerse International Securities Exchange BATS Tokyo Stock Exchange Alpha Trading CHI-X Swiss Stock Exchange Borsa Italia Johannesburg Stock Exchange PinkOTC Direct Edge Currenex CBOE TMX Group Osaka Stock Exchange ICE BM&FBovespa Korea (KRX) National Stock Exchange of India Hong Kong Exchange Hong Kong Mercantile Exchange Russian Trading System Singapore Stock Exchange This list is constantly updated, please contact Corvil for the latest version Latency Management Center Appliance The Latency Management Center is an appliance-based management station for the remote management, configuration and monitoring of large deployments of CorvilNet appliances. Based on the same look and feel as other CorvilNet appliances, it provides a central view of the entire monitored infrastructure, whether that be global, metro area, or a single datacenter. The LMC consolidates latency and trade performance measurements from all other Corvil appliances and presents these on a single console. It also provides click-through access to the individual appliances for troubleshooting. The LMC does not collect raw data from other appliances and is not involved in correlation of data. Therefore it does not represent a single point of failure and does not represent a scaling bottleneck. The LMC simplifies software upgrade, decoder library maintenance, installation and configuration management, and hardware fault identification. However the LMC is an optional component, and multi-appliance deployments can operate without it. Unified Latency View An intuitive graphical summary of all latency and loss SLA compliance events for both trading applications and trading networks Distributed Packet Capture Analysis Click-through root cause analysis to nanosecond timescales with full packet capture and application decodes Simplified Configuration A single point of configuration with automated configuration management for CorvilNet appliances Central Reporting Report generation for all central unified views of CorvilNet analytics Central Maintenance Provides central administration of all CorvilNet appliances including remote upgrades, software module management, and a central view of the health status for all managed appliances Active/Passive Management Modes A Secondary, passive Latency Management Center can be deployed to provide redundant access to all central monitoring views

6 CorvilNet System Specifications INTERFACES CAPACITY DIMENSIONS POWER SUPPLY Network Interfaces CPU / Memory Total On-Board Storage Height Width Depth Weight Power Supply Redundant PSU CNE x 1 Gbps 2 cores / 500 GB 1U 16.93in / 20in / 15lb / 110/240 VAC; NO Copper or fiber 8 GB (1.7in / 43cm 50.8cm 6.8kg 50/60 Hz; 4.32cm) 350W CNE x 1 Gbps 4 cores / 4 TB 1U 16.93in / 26in / 33.6lb / 110/240 VAC; YES Copper or fiber 8 GB (1.7in / 43cm 66cm 15.3Kg 50/60 Hz; 4.35cm) 650W CNE x 1 Gbps 8 cores / 16 TB 3U 17.2in / 25.5in / 94.8lb / 110/240 VAC; YES Copper or fiber 16 GB (5.2in / 43.7cm 64.8cm 43Kg 50/60 Hz; 13.2cm) 800W CNE x 10 Gbps 4 cores / 4 TB 1U 16.93in / 26in / 33.6lb / 110/240 VAC; YES fiber 8 GB (1.7in / 43cm 66cm 15.3Kg 50/60 Hz; 4.35cm) 650W CNE x 10 Gbps 8 cores / 16 TB 3U 17.2in / 25.5in / 94.8lb / 110/240 VAC; YES fiber 16 GB (5.2in / 43.7cm 64.8cm 43Kg 50/60 Hz; 13.2cm) 800W CNE x 10 Gbps 8 cores / 16 TB 3U 17.2in / 25.5in / 94.8lb / 110/240 VAC; YES fiber 24 GB (5.2in / 43.7cm 65.8cm 43Kg 50/60 Hz; 13.2cm) 1200W latency management center n/a 8 cores / 4 TB 1U 16.93in / 26in / 33.6lb / 110/240 VAC; YES 16 GB (1.7in / 43cm 66cm 15.3Kg 50/60 Hz; 4.35cm) 650W ADDITIONAL FEATURES Interoperability XML WSDL API, SNMPv2 MIB, SNMP traps, Syslog, TACACS+, SMTP Device Management Out of Band (Ethernet), Console access, HTTP, HTTPS, Telnet + SSH CLI, SNMP Corvil MIB, MIB-II, Host Resources MIB EMC FCC CFR 47 Part 15 Class A:2001; EN 55022; 1998 Class A limits; EN 55024: A2:2003 Safety UL 60950; CAN/CSA-C22.2 No ; EN 60950; IEC 60950; AS/NZS Third Avenue, Suite 21B, New York, NY T th Floor City Point, 1 Ropemaker Street, London, EC2Y 9HT. T Ireland House, 541 Orchard Road #08-00, Liat Towers, Singapore T George s Dock, International Financial Services Centre, Dublin 1. T F Copyright 2010 Corvil Ltd. Corvil is a registered trademark of Corvil Ltd. All other brand or product names are trademarks of their respective holders.