Electronic TradingMarket Data

Deliver the Best Price, Don’t Be Late, and Prove It!

Corvil Analytics for Market Data

Corvil is used by the world’s top banks, exchanges and global data distribution providers to monitor, analyze and assure the latency and integrity of their market data services and infrastructure. From a single feed-handler to large scale global distribution networks, Corvil is the best-in-class solution for for your ticker plant operations.

 

Outcomes

  • Minimize risk of missing fills due to slow or gapped market data
  • Demonstrate execution compliance based on best market price
  • Assure latency of critical market data plant infrastructure components
  • Quickly respond to client queries about latency and quality issues
  • Slash time to troubleshoot and fix market data quality problems
  • Maximize return on investment with direct, and consolidate feeds
  • Reduce costs of capturing and analyzing market data ticks

As Saxo continues to grow, Corvil’s best-in-class solution was a natural choice to meet our market data monitoring needs. Corvil has a stellar reputation within the financial industry and is the only solution that can adequately handle the volume of market data we process at enough granularity. For us, there were really no good alternatives to Corvil.

Michel Andre, CTO

Problem Overview

In electronic trading, success is directly tied to the quality of market data and ticker plant performance. Whether you are an exchange, a broker or a market data provider, slow prices and/or gaps in the data feeds are bad news. The impact on execution performance is immediate but not always obvious without the proper monitoring and analytics. Additionally, clients are demanding transparency and precision in their ticker plant data as it relates to the decision to trade. Traders must prove with trusted analytics that they used the “best price” available at that time. Managing ticker plant infrastructure is an ever increasing challenge. With message rates rising exponentially and demand for lower latency never ending, there is a significant burden on ticker plant capacity management and operations. Characterizing the bandwidth requirements and troubleshooting latency and gap issues quickly are critical to successfully keeping ahead of the data torrent challenge.

Challenges

  • Managing risk of executing off stale prices or delivering stale prices to clients
  • Lowering risk of business impacting outage and improving time to fix problems
  • Managing escalating cost of ticker plant to keep up with exponential message rates
  • Data demands from the business to show transparency and compliance of operations

We use Corvil to assure market data quality, discover all consumers of data and inventory usage patterns across sites in real-time . With Corvil, we stay ahead of service management, network design and capacity planning.

MD Global Market Data Company

Solution Overview

Corvil taps into the market data flowing through the ticker plant infrastructure providing a real-time authoritative view of all market data feeds with nanosecond precision. Corvil sees every tick, every symbol across each infrastructure hop. Corvil passively captures, timestamps, decodes, correlates and analyzes the market data flows, in real-time, with zero impact on the performance of the ticker plant infrastructure. The result is a real-time picture of the latency, performance and capacity utilization of the ticker plant. Operations personnel are alerted pro-actively when problems arise, and Corvil provides a sophisticated suite of analytics for detecting and troubleshooting market data specific issues e.g. determining whether the A or the B feed is the fastest, detecting market data gaps, predicting bandwidth requirements.

Corvil supports analytics plug-ins for hundreds of market data protocols across Equities, Options, Derivatives, FX and Fixed Income, including popular middleware protocols like Tibco. These are updated monthly and can be extended on-demand as required by our clients. Corvil supports streaming its enriched timestamped data and detected ticker events to a wide range of external tools such as Kdb, Hadoop and Splunk. Capable of ingesting monster feeds like Opra in real-time, the Corvil solution meets the performance, granularity and accuracy requirements for the most demanding ticker plant and market data distribution environments.

Manage Clients

  • Prove latency SLA of data service
  • Provide full transparency hop by hop
  • Quickly respond to client queries
  • Report ticker performance KPIs
  • Stream tick compliance data to client

Manage Ticker Plant

  • Report latency of feeds through every hop
  • Manage ticker plant capacity needs reliably
  • Quickly troubleshoot and fix problems
  • Provide diagnostic assist to app. dev teams
  • Hold service providers to account for SLAs

Manage Feeds

  • See every tick timestamped - all feeds
  • Detect gaps and determine impact
  • Monitor microburst and message rates
  • Measure transit latency from venue
  • Determine if A or B feed is fastest

Managing Market Data Quality and Performance

Corvil provides full support for managing the quality and performance of market data with the ability to detect gaps, determine impact of microbursts and measure both absolute and relative latency for symbol updates or events in any feed. With support for all market data protocols globally, Corvil provides the most comprehensive off-the-shelf solution available for monitoring both order flow and market data within the broker environment.

Making Sure you Never Miss Order Flow

With exchange sessions being added and removed on a weekly or daily basis, it can be hard to keep application and monitoring systems up to date. Operating processes don’t always notify the technology teams of required changes to monitoring systems, leaving you with potential blind spots. Corvil auto-discovery handles this, ensuring that all order flows are automatically discovered, tagged and monitored. Configuration APIs allow you to proactively push knowledge of sessions into your Corvil deployment.

Right-Sizing your Systems so you are “Fast Enough”

Combining internal and external latency visibility, Corvil helps you determine how fast you need to be and pinpoints any bottlenecks that stand in your way. We provide comprehensive performance monitoring of external exchange latency, as well as hop-by-hop latency across internal processing stages, and across the networks that connect you to your markets and clients. And we analyze microburst workloads to help ensure that each network and application processing stage is correctly sized for optimal performance.

Trade Performance Analytics

Fill Rate

Order tracking state is used to monitor the success or failure of orders through the fill-rate calculation - the percentage of the request volume that was filled.

Tick To Order

Calculates the algorithm response latency – the time from receipt of the triggering tick to the transmission of the order.

Order To Tick

Calculates the venue response latency – the time from transmission of an order to receipt of tick update on the venue feed reflecting the trade.

Order Response

Calculates the venue order response latency – the time from transmission of an order to receipt of acknowledgment of the order from the venue.

Microburst Analysis

Calculates the volume of a specified metric for short-timescales, e.g. the number of messages received in 1ms.

Gap Detection

Track the sequence numbers of all multicast market data feeds, and use this tracking to report and alert on any gaps.

Relative Latency

Calculates the relative latency between two measured events with time-stamps from a common time reference.

Bandwidth Prediction

Calculates an estimate of the amount of bandwidth need to meet a quality of service objective for a given traffic load e.g. a market data feed.