The Technology of an Equity Trade John OHara CEO Taskize QCon - - PowerPoint PPT Presentation
The Technology of an Equity Trade John OHara CEO Taskize QCon London 2013 Topics Equity market backgrounder Business processes The equity systems pipeline Which kinds of system go where? Technology products you may find
John O’Hara
CEO Taskize QCon London 2013
The Technology of an Equity Trade
Topics…
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
Market Data Regulatory reporting
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
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…
FX Fixed Income Equities Prime Brokerage Commodities Credit Mergers & Acquisitions
Retail Bank Credit Cards Investment Bank Commercial Bank Assest Management Corporate Advisory
FX Fixed Income Equities Prime Brokerage Commodities Credit Mergers & Acquisitions
Global bank…
Approx
$10 Billion
annual technology costs