Because microseconds matter in trading, measuring performance is critical to keep traders happy and trading technology up to par. But to measure at the microsecond level is no easy task with very few commercial tools designed for the job. To complicate matters further, performance measurements must be done in real time, in a live trading environment to ensure accurate results.
Performance is a top priority for us, and we’ve invested man-years in performance measurement in Tbricks by Itiviti. We’d like to share the potential pitfalls and best practices we’ve discovered in this white paper, and some highlights below.
Measure what matters — nothing more, nothing less
There are dozens of critical paths than can be measured in automated exchange-trading technology. While it is tempting to measure as much as possible, the very act of measuring can negatively impact actual performance. Therefore, efforts should be focused on those areas (critical paths) that impact your business.
Shorten response speeds
Another area we see our clients looking to measure performance, is in their options market making strategies. These strategies require traders to have a large passive presence in the market and in turn pose high levels of risk. This risk is associated with significant quote volumes in a large set of options and can be minimized by shortening the system’s response speed, especially when controlling the behavior of an outlier.
Include outliers in measurement specs
In performance measurement, an outlier is a market event that is distant from other events. An outlier may be the result of variability in the measurement or could be an error, which would then be excluded from the data set when measuring performance in less critical systems. However, we believe measurements in trading systems should actually focus on outliers as each of these exposes the trader to very high risk.
We have explained these scenarios in depth along with more insights and a checklist for performance measurement requirements in the white paper, Trading Technology Performance: An Introduction to Measurement Tools and Best Practices. You can download the paper here.
Blog With MiFID II regulation now less than 12 months away, the race to ensure compliance heats up. In a recent letter penned by Steven Maijoor ESMA Chair, Mr Maijoor expressed concerns on the “potential establishment of networks of Systematic Internalisers (SIs) to circumvent certain MiFID II obligations.” The implementation of MiFID I saw the introduction […] June 13, 2017
Blog It was a pleasure to have an opportunity to speak at the 2017 Americas Trading Briefing, which was graciously hosted by Goldman Sachs. As usual, the room was filled with more than 250 senior market participants and 25 expert speakers to discuss important topics, trends and issues we face together as the FIX Trading Community. […] June 7, 2017
Articles & Reports In recent years, exchange-traded funds (ETFs) have seen phenomenal activity and growth. Regulation, product innovation and investor appetite have driven global Assets under management (AUM) to record levels, while also fueling increasing market structure complexity and straining trading platform capabilities across the board. Itiviti, in conjunction with GreySpark Partners, recently engaged in a comprehensive review […] May 18, 2017
Automation & Testing For many sell-side firms, client onboarding and certification is a drag on productivity. The traditional methods used to perform these processes are manual, and therefore time-consuming. Because the process is so labor intensive, some firms maintain substantial backlogs of clients waiting for connections to trade. Slow onboarding is costing the business, as it leads to […] May 2, 2017