john ohara - the technology behind an equity trade
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John OHara - The Technology Behind An Equity TradeTRANSCRIPT
John O’Hara CEO Taskize
QCon London 2013
The Technology of an Equity Trade
Topics…
• Equity market backgrounder
• Business processes
• The equity systems pipeline
• Which kinds of system go where?
• Technology products you may find
• Context within a large bank
Leading electronic equity markets
Largest by volume: 1.4 trillion trades on Indian NSE
Largest by value: $13 trillion on NYSE
2012 World Federation of Exchanges Market Highlights
Primary electronic trading patterns
Increasing Commission rates and Human Interaction
Direct Market
Access (DMA)
Market Connectivity
Algorithmic
Trading
Engine
EXCHANGE
Algorithmic
Trading
Engine
Mar
ket D
ata
Reg
ulat
ory
repo
rtin
g
Exchange
Matching
Engine
Latency
aware
HFT No Touch Low Touch High Touch
Co-located Gateway
Client Connectivity
Direct Strategy
Access (DSA)
Programs /
Baskets Single Orders
Program
Trading
System
Single Orders
INTERNAL
MARKETS
CROSSING
NETWORKS
DARK
POOLS
Latency
sensitive
100 orders
yields 1 trade
1 order
yields 5 trades
Equity transaction volumes
Deal
Size
85%
Deal Volume
700%
10 years
We are much more focused today on operations
and technology and being a low-cost provider than
we would have articulated about ourselves 10 or 15
years ago
Lloyd Blankfein, CEO Goldman Sachs
November, 2012
These are not low-cost people…
The time is right for a giant leap forward, with
economic pressure and technological potential
creating the conditions for change
The Triple Transformation, McKinsey
October, 2012
Low cost
Scalable
Accessible
Innovative
Origination Pre-trade Services
Trading Connectivity
Market Making
Pricing
Order Management
Execution Figuration Allocation P&L
Reporting
Lifecycle Management
Confirmation and
Matching
Risk Management
Limits Management
Regulatory Reporting
Accounting Margin and Collateral
Management
Credit Risk Management
Settlement and Clearing
Controls
Master Data Client
Management Market Data
Management Informatiom
Market Risk
Speed & Latency Reliability & Throughput
Exchange
Profit and Loss
Simple order flow through systems
Block Trader
Smart Order
Routing Booking
Allocation &
Figuration
Settlement & Clearing
Custodian
Regulatory Reporting
Fund Manager
Sales Trader
Trans. Cost
Analysis
Exchange
Order books and trade matching at almost every step
Block Trader
Smart Order
Routing Booking
Allocation &
Figuration
Settlement & Clearing
Custodian Fund
Manager Sales Trader
Street
Side
Client
Order
Child
Orders
Market
Order Fill Allocation
Parent
Order
FIX Financial Information Exchange
Real Time Market Data
Tick Database
Electronic Comms Network
Multilateral Trading Facility
Market Risk
Exchange
Profit and Loss
Global smart order routing
Block Trader
Smart Order
Routing Booking
Allocation &
Figuration
Settlement & Clearing
Custodian
Regulatory Reporting
Fund Manager
Sales Trader
Trans. Cost
Analysis
Electronic Comms Network
Market Risk
Exchange
Profit and Loss
Program-trading: Process large baskets automatically
Block Trader
Multilateral Trading Facility
Smart Order
Routing Booking
Allocation &
Figuration
Settlement & Clearing
Custodian
Real Time Market Data
Regulatory Reporting
Tick Database
Fund Manager
Sales Trader
Trans. Cost
Analysis
Program Trading
Electronic Comms Network
Market Risk
Exchange
Profit and Loss
High Frequency Trading / Market Making
Block Trader
Multilateral Trading Facility
Smart Order
Routing Booking
Allocation &
Figuration
Settlement & Clearing
Custodian
Real Time Market Data
Regulatory Reporting
Tick Database
Program Trading
Fund Manager
Sales Trader
Trans. Cost
Analysis
High Frequency
Trading
Electronic Comms Network
Market Risk
Exchange
Profit and Loss
Different kinds of technology in the life cycle
Block Trader
Multilateral Trading Facility
Smart Order
Routing Booking
Allocation &
Figuration
Settlement & Clearing
Custodian
Real Time Market Data
Regulatory Reporting
Tick Database
Program Trading
Fund Manager
Sales Trader
Trans. Cost
Analysis
High Frequency
Trading
100TB time series DB
Specialised languages
Identical cable length to every server
Fast single-thread execution
Atomic clocks
In-memory databases
Hi speed journals
C# desktop apps
Hardware DB
appliances
Hardware
messaging
appliances
Standardised messaging
Java applications
Data ETL for regulators
Grid computing
Functional programming
CEP Engine
Spaces ‘put/take’
architecture
Specialised 10Gb Card
Prepared network frames
Short-lived
workflows
Long-lived
workflows
Electronic Comms Network
Market Risk
Exchange
Profit and Loss
Block Trader
Multilateral Trading Facility
Smart Order
Routing Booking
Allocation &
Figuration
Settlement & Clearing
Custodian
Real Time Market Data
Regulatory Reporting
Tick Database
Program Trading
Fund Manager
Sales Trader
Trans. Cost
Analysis
High Frequency
Trading
An unscientific survey…
Product names, logos, brands and other trademarks referred to are the property of their respective trademark holders. This diagram is
presented “as is” and no warranties or representations as to accuracy, completeness, suitability or fitness for purpose are expressed or implied.
Investment bank…
• 1,000 - 2,000 systems
• 8,000 - 10,000 technology staff
• $1 Billion development and maintenance
Investment Bank F
X
Fix
ed In
com
e
Equ
ities
Prim
e B
roke
rage
Com
mod
ities
Cre
dit
Mer
gers
& A
cqui
sitio
ns
Global Bank R
etai
l Ban
k
Cre
dit C
ards
Inve
stm
ent B
ank
Com
mer
cial
Ban
k
Ass
est M
anag
emen
t
Cor
pora
te A
dvis
ory
Investment Bank F
X
Fix
ed In
com
e
Equ
ities
Prim
e B
roke
rage
Com
mod
ities
Cre
dit
Mer
gers
& A
cqui
sitio
ns
Global bank…
Approx
$10 Billion annual technology costs
Banks are industrialising
A new era of banking technology
Robust technical leadership is needed