Electronic Trading Market Data

Corvil’s Market Data Plug-ins pack includes support for all major exchange feeds worldwide, including equities, derivatives and FX. It also supports aggregated and normalized feeds such as Thomson Reuters and NYSE Data Fabric, and feed handler middlewares such as Rendezvous, Informatica/LBM and WebSphere LLM. Corvil works closely with exchanges to keep plug-ins up to date with exchange driven changes, releasing regular updates.

Electronic Trading Market Data Analytics

Market data plug-ins provide complete visibility of the market data flows, reporting on any missing ticks and upstream latency, and supporting the tracking of latency through feed handlers and distribution.

  • When ensuring market data quality, the first problem is to ensure that no ticks are missing when the data enters your infrastructure, as any missing data can block processing of the entire feed and halt trading. The Corvil plug-ins track the sequence numbers of all multicast market data feeds, and use this tracking to report and alert on any gaps.
  • Slowdowns in market data have a big impact trading strategies, but can be hard to detect. Corvil detects when the data is getting delayed upstream: most market data messages contain a timestamp that reflects the time at which the exchange published the message. Corvil plug-ins compare this to the time at which the messages is received to determine the network transmission latency.
    Corvil customers have used this analysis to detect service provider misconfigurations that resulted in available bandwidth being only a fraction of what was being paid. In some cases, this had been inducing severe delays during crucial periods of market activity.
  • Some market data protocols offer additional information for analysis. For example, the plug-ins for Eurex or NYSE-Liffe uses an additional timestamp that refers to the time of the matching engine event that generated the message. This is used to probe the latency of the data within the exchange - not just from from the point at which the message was multicast across the network, but also the time between the matching engine event and the market data assembly.
  • Specialized analytics are present for exchange deployments to allow the calculation of latency through the SIP aggregated feed infrastructure, supporting Reg. 603 compliance.
  • Correlation use-cases can require batched market data messages from the exchange to be split into their constituent parts. For example, an Incremental Refresh can contain multiple distinct “ticks” that need to be processed independently.