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Open Day 2016T7®s market- and reference data interfaces (MDI, EOBI, etc.)
Ferudun Oezdemir
5 October 2016
Contents
Open Day 2016
02 Overview of T7® – Interface landscape 06 A comparison – data volume
across market data interfaces
03 Benefits of common interface platform 08 Market data distribution rule
and filtering
04 Market and reference data interfaces – at a glance 10 Latency characteristics of EMDI
vs EOBI
05 A comparison of market data interfaces
Deutsche Börse Group 1
Overview of T7® – interface landscape
Deutsche Börse Group 2
EnhancedTradingInterface(ETI)
FIXGateway
MarketDataInterface(MDI)
ReferenceDataInterface(RDI)2)
TraderGUI AdminGUIClearerGUI
CommonReportEngine(CRE)
T7
Reports /files
... ...Market data and reference data multicast Feed handler (developed by participant and / or independent software vendors)
Trading applications(developed by participant and / or independent software vendors)
Via ETI
1) available in co-location only2) In addition to the multicast based solution there will also be a file based solution for reference data via the Common Report Engine (CRE) and an internet download
EnhancedOrder Book Interface(EOBI)1)
EnhancedMarket DataInterface(EMDI)
ExtendedMarket Data Services(EMDS)
Market and reference data interfaces are based on efficient multicast mechanism, i.e. public data dissemination over an UDP-based multicast network.Common market and reference data interface technology for the trading of derivatives and cash products / instruments.
Benefits of common interface platform
Deutsche Börse Group 3
A common public market and reference data interface platform for the trading ofsecurities and derivatives, as a truly state-of-the-art multi-exchange trading system.
Xetra® and Eurex®
trading participants benefit from synergiesresulting from the alignment on a common market and reference data interface technology for the trading of cash and derivative products, i.e., harmonised interface landscape.
Lower barriers for trading participants already active on the cash market to get access to the derivative market and vice versa.
T7 is a powerful state-of-the-art trading platform. Cutting-edge technology delivers ultra-low latency, robustness and safe handling of very high throughput.
German equities and ETFswill now be available via a low-footprint solution, reducing participant time and effort for release updates.
1
2
3
4SYNERGIES
LOW BARRIERS
STATE-OF-THE-ART TECHNOLOGY
LOW FOOTPRINT
Market and reference data interfaces – at a glance
§ Price level aggregated public market data interfaces for derivatives and cash markets§ EMDI – market data interface for unnetted market data§ MDI – market data interface for netted market data
§ FAST encoded messages and FAST compression
§ Order-by-order public market data interface for derivatives and cash markets§ EOBI – market data interface for unnetted market data
§ Fixed-length binary messages and no data compression
§ Public reference data interfaces for derivatives and cash markets§ RDI – reference data interface for reference data§ RDF – reference data file in XML format
FAST encoded messages and FAST compressionFIXML messages and no compression
Common message layouts for all markets
Deutsche Börse Group 4
A comparison of market data interfaces
Deutsche Börse Group 5
Enhanced Order Book Interface (EOBI)
(Eurex EOBI)
Enhanced Market Data Interface (EMDI)
Market Data Interface (MDI)
§ Provides unnetted, price levelaggregated on-exchange and off-exchange market data
§ For all products / instruments of all markets
§ Market depth: configurable per product
§ Provide BBO and synthetic prices § Trade statistics are available in
incrementals and snapshot messages§ Price level aggregated snapshots
periodically§ Snapshots and incremental market
data messages delivered via separate channels (out-of-band)
§ High bandwidth requirements§ Trades published on aggregate, by
price level
§ Provides entire visible order book by publishing information on each individual order and quoteon-exchange market data during continuous trading
§ For selected benchmark products for derivatives market; for all instruments for cash markets
§ Market depth: no restriction§ No information about synthetic prices§ Trade statistics are available in
snapshot messages only§ Entire order book is published
incrementally when order book is open and via snapshots periodically
§ Snapshots and incremental market-data messages delivered via separate channels (out-of-band)
§ High bandwidth requirements (available via 10GB network)
§ Execution summary messages for fast trading decisions
§ Provides netted, price levelaggregated on-exchange and off-exchange market data
§ For all products / instruments of all markets
§ Top-of-book market depth for options; market depth of up to 10 for futures
§ Only statistical, daily high / low price and last trade information is provided
§ Snapshots and incremental market data messages delivered via one channel (in-band)
§ Low bandwidth requirements § Trades published in statistical fashion
A comparison – data volume across market data interfaces
Deutsche Börse Group 6
Please note that EOBI is enabled for selected benchmark future products for derivatives market only. EOBI will be enabled for all cash market products / instruments.
1.85
3.53
2.30
0.55
0
0.5
1
1.5
2
2.5
3
3.5
4
Increments (FDAX) Snapshots (FDAX)
Dat
agra
ms
Mill
ions
EMDI vs EOBI datagrams
EMDI Datagrams EOBI Datagrams
0.11
2.41
0.20
0.66
0
0.5
1
1.5
2
2.5
3
Increments (FDAX) Snapshots (FDAX)
Gig
a B
ytes
EMDI vs EOBI data sizes
EMDI Gbytes EOBI Gbytes
EOBI – Market data volume
Deutsche Börse Group 7
EOBI interface market data is currently only available to trading participants using 10 GbEconnections. Trading participants are advised to take two cross connections (one for each market data stream) in co-location to receive market data.
§ The provided data shows one data point per minute for 27 June 2016.
§ Each data point equals the maximum bandwidth produced on a 1 ms scale by the incremental A stream in Gbit/sec.
§ EOBI peak data volume depends on market activity. Usually, the market opening and subsequent publication of complete order books cause the highest peak loads. Observed all-time high is around 3 Gbit/sec on a 1 ms scale.
Market data distribution rule and filtering
Deutsche Börse Group 8
§ For products assigned to an even partition, market data is published first on the A stream and then on the B stream whereas, for products assigned to an odd partition, market data is published first on the B stream and then on the A stream.
§ Partition ID / product ID / instrument ID is contained in the UDP datagram header of the order book’s incremental messages and can be used for filtering on UDP datagram level for EMDI / EOBI.
§ Furthermore, an UDP datagram on the EMDI / EOBI order book delta or snapshot channel will only contain data of exactly one product / instrument (e.g. EURO STOXX 50® index future).
Time stamps
Deutsche Börse Group 9
§ Matching engine:§ order book maintenance and execution§ creation of direct responses as well as
execution messages all for passive orders / quotes
§ Market data (EMDI): § creation of order book delta messages§ creation of order book snapshot messages
§ Market data (EOBI):§ creation of order book messages§ creation of order book snapshot messages
Time stamp overview
Latency characteristics of EMDI vs EOBI
Deutsche Börse Group 10
The market data updates provided via EOBI are almost always faster than EMDI (although the design of the T7® system does not guarantee this).
Latency characteristics of EMDI versus EOBI for June 2016
§ The top diagram shows the distribution of t_9 minus t_8, i.e. EOBI first datagram vs EMDI sending time, the bottom diagram shows the cumulative distribution.§ The graphs show data of EURO
STOXX 50® Index Futures (FESX) for June 2016.§ EOBI was faster in more than
99.9 per cent of the cases.
Further information
§ Eurex websitehttp://www.eurexchange.com/exchange-en/technology/t7/
§ System documentation: public market and reference data manualshttp://www.eurexchange.com/exchange-en/technology/t7/Release-4.0/
§ Information in the context of trading system dynamics and high-frequency trading ww.eurexchange.com > Technology > High-frequency trading
§ Some insights into the details that matter for high-frequency tradinghttp://www.eurexchange.com/exchange-en/resources/publications/
Deutsche Börse Group 11
Appendix – time stamps
Deutsche Börse Group 12
The time stamps t_3,…,t_8 are available via the following fields:
t_3, t_3n: tag 5979 (“RequestTime”) in the Eurex ETI Responsein the Eurex EMDI Depth Incremental message, in case a trade is reportedin the Eurex EOBI Execution Summary message
t_3’: tag 7764 (“RequestOut”) in the Eurex ETI Response (from the matching engine)
t_4’: tag 7765 (“ResponseIn”) in the Eurex ETI Response (from the matching engine)tag 25043 (“NotificationIn”) in the Eurex ETI Notification (from the matching engine)
t_4: tag 52 (“SendingTime”) in the Eurex ETI Response and Notification
t_5: tag 21002 (“TrdRegTSTimeIn“) in the Eurex ETI Response (from the matching engine)
tag 21002 (“TrdRegTSTimeIn”) in the Eurex EOBI Order Add, Order Modify, Order Modify Same Priority and Order Delete messages
tag 28820 (“AggressorTimestamp“) in the Eurex EMDI Depth Incremental message, in case a trade is reportedtag 28820 (“AggressorTimestamp“) in the Eurex EOBI Execution Summary message
t_6: tag 21003 (“TrdRegTSTimeOut“) in the Eurex ETI Response and Notification (from the matching engine)
t_7: tag 17 (“ExecID“) in the Eurex ETI Response (from the matching engine)in the Eurex EOBI Execution Summary message
tag 273 (“MDEntryTime”) in the Eurex EMDI Depth Incremental message
tag 21008 (“TrdRegTSTimePriority”) in the Eurex EOBI Order Add and Order Modify messages
tag 60 (“TransactTime”) in the Eurex EOBI Order Modify Same Priority and Order Delete messages
t_8: no tag (“SendingTime”) in the Eurex EMDI UDP packet header
t_9: tag 60 (“TransactTime”) in the Eurex EOBI packet header
(t_8-t_5): no tag (“PerformanceIndicator“) in the Eurex EMDI UDP packet header of the Eurex EMDI Depth Incremental stream.
Notes on time stamps:
All time stamps provided are 8 byte integers in nanoseconds after Unix epoch).
The PerformanceIndicator is a 4 byte integer (in nanoseconds as well).
