Open Day 2016 T7 latency roadmap Sebastian Neusüß. 5October 2016

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1 Open Day 2016 T7 latency roadmap Sebastian Neusüß 5October 2016

2 Deutsche Börse Group 1 Latency: an overview Definition Latency is the delay between signal and response. Latency in trading ecosystem Market signal to order generation (trading participants reaction time) to trade or not to trade race to zero, local: sub microsecond, non-local: microwaves, new networks, LEO satellites (?) Exchange round-trip time Introduces risks while order status unknown Eurex T7 median reduced from 200 µs to 150 µs (2015 to 2016) Xetra T7 median roundtrip expected at ~100 µs (current Xetrasystem: 380 µs) Order generation to matching engine latency ( Inbound latency ) Part of round-trip time Variance introduces non-determinism and incentivises sender multiplicity Matching engine to participant latency ( Outbound latency ) Part of round-trip time Variance incentivises receiver multiplicity

3 Deutsche Börse Group 2 T7 latency roadmap overview Q4/2016 Upgrade of hardware for matching engines, high-frequency gateways and market data publishers 21 November 2016 (T74.0) Merge of matching engine and EOBI market data publisher into a single process to save transportation time (t_9 t_7), stepwise introduction Improved sequencing consistency on the ETI gateways and reduced variance of gateway processing times MassOrderCancel extension reduces complexity and thus latency for liquidity providers Addition of first option product to EOBI (Eurex KOSPI Product OKS2) in December 2016 Q2/2017 (before T7 5.0) Upgrade of 10 Gbit co-location network 19 June 2017 (T7 5.0) FIFO processing per gateway Xetra migrationtot7 (26 Jun and 3 Jul) 4 December 2017 (T7 6.0) Partition-specific FIFO gateways, stepwise introduction

data and latency (t_9 t_7) significantly Underlines public data first principle and

4 Deutsche Börse Group 3 Merge of EOBI and matching engine Merge of matching engine and EOBI market data publisher into a single process will reduce the match to market data and latency (t_9 t_7) significantly Underlines public data first principle and makes system ready for gateway latency improvements Current topology With T7 release 4.0

5 Open Day 2016 T7 latency roadmap Deutsche Börse Group 4 Motivation for 10 Gbit co-location upgrade The current Eurex / Xetra 10GE network infrastructure in co-location is about five years old and Eurex / Xetraplan to offer an additional improved 10GE connectivity alternative to members. Reasons Ease of access and reduced complexity Current situation: - one pair of order entry switches per market in each of the six customer rooms 1) - one pair of market data switches per market in each of the six customer rooms - customers can only reach the respective pair of switches in each room Future situation: - customers may reach any switch from any room without move of equipment - fewer customer-facing switches Better consistency Less latency variance by using state-of-the-art equipment Better normalisationof cable lengths (currently +/- 4 m, +/-20 ns) Better latency: one-way latency reduction by ~1 µs Better monitoring capabilities: additional time stamp at handover point between customers and exchange 1) There are seven co-location rooms in Equinix (out of which one is currently being retired and not supported for new network).

6 Deutsche Börse Group 5 Current order entry network topology in 10 Gbit co-location two switches per gateway room (for failover reasons) 24 customer-facing switches (four per customer room, Eurex A / B, Xetra A / B, Xetra not shown below) Customers can only connect to switches in the room they are locatedin Room A Room B GW A 1 GW A n GW B 1 GW B n C C C C C C C C C C C C C C C C C C C C C C C C C C C C C C C C C C C C C C C C C C Customer room 1 Customer room 2 Customer room 3 Customer room 4 Customer room 5 Customer room 6

7 Open Day 2016 T7 latency roadmap Deutsche Börse Group 6 Future order entry network topology in 10 Gbit co-location two switches per gateway room (for failover reasons) and per market (only one market shown) Eurex : eight centrally located switches (four per room, A and B) Xetra : four centrally located switches (two per room, A and B), not shown below Customers can connectto any switch from any of the six co-locatedrooms Room A Room B GW A 1 GW A n GW B 1 GW B n C C C C C C C C C C C C C C C C C C C C C C C C C C C C C C C C C C C C C C C C C C Customer room 1 Customer room 2 Customer room 3 Customer room 4 Customer room 5 Customer room 6

8 Deutsche Börse Group 7 Current market data network topology in 10 Gbit co-location four market data distribution layer switches (twoa and two B switches) 24 market data customer-facing switches (Eurex A / B and Xetra A / B per room) Customers can only connect to switches in the room they are locatedin Room A Room B MD 2 MD n MD 1 MD n-1 C C C C C C C C C C C C C C C C C C C C C C C C C C C C C C C C C C C C C C C C C C Customer room 1 Customer room 2 Customer room 3 Customer room 4 Customer room 5 Customer room 6

9 Deutsche Börse Group 8 Future market data network topology in 10 Gbit co-location two market data distributionlayer switches (A / B) per market Eurex : eight centrally located customer-facing market data switches (four in A, four in B) Xetra : four centrally located customer-facing market data switches (two in A, two in B), not shown Customers can connectto any switch of any of the six co-locatedrooms Room A Room B MD 2 MD n MD 1 MD n-1 C C C C C C C C C C C C C C C C C C C C C C C C C C C C C C C C C C C C C C C C C C Customer room 1 Customer room 2 Customer room 3 Customer room 4 Customer room 5 Customer room 6

10 Deutsche Börse Group 9 Migration plan Co-location 2.0 will be built in parallel to the existing infrastructure It will be offered at a new price that will be published by the end of 2016 Legacy network (including 10GE connectivity) will be connected to co-location 2.0 access layer switches Go-live date is set before T7 release 5.0 (June 2017) Orders may be placed as from 20 February 2017 Lines will be available on go-live date for orders received until 17 March 2017 Orders placed after 17 March 2017 will be processed in first-come, first-served mode

11 Deutsche Börse Group 10 T7 order entry enhancements Current situation: parallel inboundpaths with latency jitter 14 customer-facing switches with connection constraints 16 HF gateways (Eurex ) with processingjitter of ~10 µs Future situation: fewer inboundpaths with reducedjitter Upgraded 10 Gbit network with eight (four) customer-facingswitches for Eurex (Xetra ) Rel 4.0: 16 HF gateways with less processingjitter and reducedovertaking Rel 5.0: FIFO processingon each HF gateway Rel 6.0: introductionpartition-specific FIFO gateways

12 Deutsche Börse Group 11 T7 order entry current situation Session A Session B a A B a A B Gateway 1 a A S a BA B Matching priority is assigned here, no overtaking possible from here onwards Matching engine 1 Session C Session D D C DEC Gateway 2 C E S EDC S a BEDCA Core matching Session E E D S Sequencer Switch Timestamping Request sequencing takes place on the network in front of the trading gateways. in the gateway for messages of all sessions routed to one matching engine (partition). in the matching engine for messages of all sessions. Request ordering is preserved within the messages of a session routed to one matching engine (partition). within the messages sent from one gateway to a matching engine (partition).

13 Deutsche Börse Group 12 T7 order entry release 4.0 Session A Session B a A B a A B Gateway 1 a A a A B S a AB B Matching priority is assigned here, no overtaking possible from here onwards Matching engine 1 Session C Session D D C DEC DEC Gateway 2 C E S EDC S a AEDCB Core matching Session E E D S Sequencer Switch Timestamping Same sequencing points as before Reduced reorderingprobability within each gateway, e.g. in case of a burst of ten messages in one microsecond, the probabilityof the first messageleaving the gateway first is raised from currently ~50% to > 90% (lab results). Fewer and newer order entry switches (Co-location2.0)

14 Deutsche Börse Group 13 T7 order entry release 5.0 Session A a A Gateway 1 Matching priority is assigned here, no overtaking possible from here onwards Session B B a A B a A B Matching engine 1 Session C Session D D C DEC Gateway 2 D E C S a ADECB Core matching Session E E S Sequencer Switch Timestamping Wire order delivery to each gateway FIFO processing within each gateway

15 Deutsche Börse Group 14 T7 order entry release 6.0 Session A Session B a A B Gateway 1 Matching engine 1 Session C Session D D C DEaCAB DEaCAB DEaCAB Core matching Session E E S Sequencer Switch Timestamping One FIFO gateway per matching engine (partition) LF and FIX sessions will still be able to access all partitions Stepwise introduction Implementation details not yet finalised

16 Deutsche Börse Group 15 Further information More details and regular updates are available in the Insights into Trading System Dynamics presentation at eurexchange.com > Technology > HFT For further questions contact us via

17 Thank you for your attention! Contact

18 Open Day 2016 T7 latency roadmap Deutsche Börse Group 17 Backup: T7 system overview (release 4.0) Participant t_1 t_2 t_11 Enhanced Trading Interface t_3n t_4 Enhanced trading Interface gateway t_3 Enhanced order book interface t_3 t_4 t_5 t_6 t_9 Eurex partition Matching engine t_7 Core matching Market data publisher (EOBI) Request / inbound t_3n: GW in (RequestTime, for HF gateways only) t_3: GW applicationin (RequestTime, for LF gateways only) t_3 : GW out (RequestOut) t_5: Matcher in (TrdRegTSTimeIn) t_7: Core matching in (ExecID, MDEntryTime, TransactTime, TrdRegTSTimePriority) Response / outbound t_6: Matcher out (TrdRegTSTimeOut) t_10 Enhanced market data interface t_8 Market data publisher t_8 (EMDI) t_4 : GW in (ResponseIn) t_4: GW out (SendingTime) t_8: EMDI out (header SendingTime) t_9: EOBI out (headertransacttime) Represents one physical server Messaging: WLLM using RDMA via Infiniband Further information and regular updates are available in the Insights into Trading System Dynamics presentation at

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