Day Five

Low latency market data and trading systems solutions

Friday 26 October 2012

The trading world continues to evolve rapidly to the point where much of the traded volumes we see today are initiated and undertaken by computer systems using data derived directly from primary sources. This course section looks into the new technical innovations that form the low-latency data distribution and processing environment. Additionally technology assisted trading and data publication systems are reviewed, and the future trends both from a business and technology viewpoint are investigated.

9.00 Registration & coffee

9.30 Review & recap of days one and two

  • Diagram of the trading structures of an investment bank
  • Inter-linkage of it systems in the financial markets
  • Reuters project Eikon & Elektra

10.00 Changing trading models and electronic trading venues

  • Examples from the FX market
    - EBS and Reuters
    - Other liquidity pools and netting systems
  • Examples from the equities markets
    - Direct access exchange trading systems
    - MTF's
    - Dark Pools
    - OTC equities trading

11.00 Morning break

11.30 Low latency market data platforms

  • Drivers and technologies explained
  • Example platform architectures
  • RMDS6, 29West, Caplin, NYSE Technologies, IBM and others explained

12.00 Complex event stream processing

  • System principles
  • Applications and usage examples:
    - Data Cleaning
    - Pricing Systems
    - Order routing systems

12.45 Combined pricing and reference data systems

  • The challenges of managing large real time market data systems
    - Example: WestLB

13.00 Lunch
14.00 Internal publishing and external distribution of real time data for trading and pricing

  • The challenges of using and publishing real time data
  • Th real costs f machine usage of market data
  • Derived data and redistribution definitions

14.30 Fixed income trading systems

  • Overview of fixed income trading venues
  • Publishing and contributions systems - a summary
  • Interfacing to the Bloomberg Trading Systems via MPF
  • Case Study: Emerging Markets Bonds Desk
    - Business drivers
    - Data structures
    - Review of man message types
    - Working with the Bloomberg test system
    - Overall infrastructure

15.15 Afternoon Break

15.30 Algo-trading review

  • Algo trading objectives
  • Market trends and asset class migration
  • Different types of algo-trading
    - From programme to Start-ARB algo trading

16.00 An algo-trading case study: arbitrage across two continents

  • Business drivers
  • Overall design
  • Technical components
  • Latency priorities

16.30 New directions and trends in IT for financial markets

  • Private grid & cloud system
  • Hosting initiatives
  • Web 2
    - Example implementation

17.15 Questions and close

17.30 End of day three