STAC Overview for User Firms

STAC overview for user firms

Peter Lankford, Founder & Director, STAC [email protected]

27 February 2018

• What is STAC? • How does the STAC Benchmark Council work? • What kind of stuff is in scope? • What topics are hot today? • How do STAC benchmarks work? • How can I utilize STAC?

Improving the efficiency and effectiveness of technology discovery and assessment in the finance industry

Why?

• Finance organizations need sophisticated technology • Technology discovery & evaluation is slow and expensive • This hurts both buyers and sellers of technology

Copyright © 2018 Securities Technology Analysis Center LLC The STAC Benchmark Council (Estd. 2007) • Consists of financial firms (“user firms”) and technology providers (“vendors”) • Establishes standard technology benchmarks based on finance workloads plus research agendas based on industry priorities • Discusses technical challenges in finance (way beyond benchmarks) • User firms set the requirements and make the priority calls • See: www.STACresearch.com

Copyright © 2018 Securities Technology Analysis Center LLC STAC Benchmark Council Members Financial Organizations and Application Vendors • 303 Capital • AX Trading, LLC • Capital Fund Management • Danske Bank Markets • FTSE Group • A.R.T. Advisors LLC • Axiom Markets • Capital One Financial • DE Shaw • Gain Capital Group, LLC • ABN AMRO Clearing • Balyasny Asset Management • Capstone Holdings Group • Dearborn Capital Gelber Group • Aequitas • Bank of America/Merrill Lynch • Carax • Delwar Capital Management • Gemini • Aether Analytics, LLC • Bank of Russia • Caxton • Deutsche Bank • Geneva Trading • AF Capital • Bank of Tokyo-Mitsubishi UFJ • Celera Group • Deutsche Boerse • GFI Group • AHL • Barclays • Charles Schwab • Domeyard, LP • Global Markets Exchange Group • AIG • BATS Exchange • Chicago Board Options/National • Dosadi Capital • Gloucester Research Ltd • AKO Capital • BAXTER-FX Stock Exchange • DRW Trading • Goldenberg Hehmeyer Trading Co • Akuna Capital LLC • BCSGM • Chicago Trading Company • DV Trading • Goldman Sachs • Alegro Global Ltd • Belvedere Trading, LLC • Chi-X Australia • Eagle Market Makers • Goodbody Stockbrokers • Algo Depth • BestX • Chopper Trading • Eagle Seven • Greenlight Trading • Algo Engineering • BGC Partners • Citadel Investment Group • Eagle Trading Systems R&D LTD. • Group One Trading • AlgoPartners LLC • BIDS Trading L.P. • Citi • Echotrade • GSA Capital • Allstate Insurance Company • Bishop Capital Management • Citic Capital Track Solutions • Eclipse Options (HK) Ltd • GX2 Systems, LLC • Allston Trading • Bittrex Inc. • CityIndex Ltd • Edelweiss Financial Services • Hard Eight Futures LLC • Ally Financial • BLB Commodities Limited • Clayland Willow PCC • EdgeCI • Hardcastle Trading • Alpha Labs • Blue Trading Systems • Clover Light, LLC • Edgewater Markets LLC • HC Tech • AlphaWorks Capital Management • Bluefin Trading • CLSA (UK) • EIS Global • Headlands Technologies • American Trust Investment • BNP Paribas • CMC Markets • Enova Financial • Hekla Capital LLC Services • Bluefire Capital • CME Group • Epoch Capital Pty Ltd • High Speed Analytics • Apache Capital Management • BMO Capital Markets • CMT Asia • E*Trade Financial • HSBC • APT Portfolio • BNY Convergex • CNSX Markets Inc. • ETX Capital • Huatai Great Wall Futures Co. • Arbillon Capital AG • BNY Mellon • Coatbridge Capital • Eurex Frankfurt AG • Hudson River Trading • Archelon Group • Boerboel, LLC • Cognitive Capital LLC • Exane • Hull Investments • Arctic Lake • Bolsas y Mercados Españoles • Commerzbank AG • Fairtree Capital • Hutchin Hill Capital, LP • Aspect Capital • Boston Options Exchange • Computer Voice Systems • FFastFill • ICAP Services North America • Athena Capital Research • BP Oil • Cowen | ATM • Fidelity Investments • IEX Group • Atlas ATS Inc. • BTG Pactual • CQG, Inc • Final • IG Index • Atreyu Group LLC • Bundalini • Crabel Capital Management • Financial Market Engineering • IMC Financial Markets • Atto Capital LLC • Buttonwood Group Trading • Credit Agricole • FIS Global • Indy Research Labs • Australian Securities Exchange • Caherciveen Partners • Credit Suisse • Flow Traders US • ING • AWSF Capital Group • Cantab Capital Partners • Cutler Group, LP • Forex Capital Markets (FXCM) • Intercontinental Exchange (ICE) • AXA • Cantor Fitzgerald • Daiwa Institute of Research • Fox River Execution • International Securities Exchange

Council members do not necessarily endorse or approve of any of STAC’s products, specifications or statements. All company names and logos are trademarks or registered trademarks of their respective owners.

Copyright © 2018 Securities Technology Analysis Center LLC. STAC Benchmark Council Members Financial Organizations and Application Vendors • Invesco • MB Trading LLC • Pinnacle View Capital • Smarkets • Tradeworx • Ion Asset Architecture UK • Mexican Stock Exchange • Platform Capital LLC • Societe Generale • Trading Machines • ION Group • MIAX Options • PNT Financial • Source Capital AG • Trading Technologies • Istra • Millennium Partners • Point72 • Spire Europe Ltd. • Tradition North America • ITG • Milton Labs LLC • Port 22, LLC • Spot Trading, LLC • TransMarket Infrastructure • ITG/DE Trading Corporation • Mizuho Securities • Prime Analytics, LLC • Squarepoint Capital Holdings • Integral Derivatives • Moody's Analytics • Prudential • Squawker • TransUnion • JNK Securities • Morgan Stanley • Puppetmaster Trading • SSW-Trading • Triumph Asset Management • JP Morgan Chase • MSCI • Qbitia Solutions, S.L. • Standard Bank • True Trade Markets • Jump Trading • MWD Trading • QCP Trading • Standard Chartered • Tudor Investment Corporation • Kapital Trading • Myra Trading LLC • QMS Capital Management • Stonebridge Capital Markets • Tullett Prebon • KCG Holdings • NASDAQ OMX • QTrade Capital • Sumo Capital • Twitch LLC • Ketchum Trading, L.L.C. • National Commodity & Derivatives • QuantConnect Corporation • Summit Securities Group LLC • Two Sigma Investments • King Street Exchange • Quantlab Financial LLC • Sun Trading LLC • Tyler Capital • Kinkopf Capital Management • National Stock Exchange of India • Questrade • Sunningdale Capital LLP • UBS • Kohl Trading • Nex Markets • Quiet Light Securities LLC • SurfacExchange • UniCredit • Komico, LLC • Nobilis Capital • Rackson Asset Management • Susquehanna International Group • United Futures Trading Co • Kyte Group • Nomura • Radix Trading • Swedbank • Valo Research and Trading • Laurion Capital Management • Northern Trust • RBC Capital Markets • T0 • Victor Securities LLC • Liger Investments Limited • Nuovi Investimenti SIM • Realtick LLC • TD Ameritrade • Volant Trading • Lime Brokerage, LLC • NYC Finance • RGM Advisors LLC • Tenth Sense Group Pty Ltd • Walleye Trading Advisors • Liquid Capital Group • NYSE Euronext • Richfox Capital • Tenzan Capital • Warsaw Stock Exchange • Liquidnet • NYTrade • Rival Systems • TeraExchange • Wellington Management • Lloyds Banking Group • OMERS • RiverCross • Teza Technologies LLC • Wells Fargo • LMAX • OneChicago • ROFEX • Tibra Capital • Westpac Banking Corporation • London Metals Exchange • OPG Securities • Ronin Capital • TMX Group • WH Trading • London Stock Exchange • Options Clearing Corporation • Rotella Capital Management • Toji Trading Group • Wholesale Markets Brokers' • Lord, Abbett & Co. LLC • OptionsCity • Royal Bank of Scotland • Tolo Technologies Association • Lotus Capital Management • Optiver B.V. • Saxo Bank • Topaz Development • Wiklund Trading, LLC • Luo Capital Advisors • Ortus Capital Management • Schneider Trading Associates Ltd • Tower Reasearch Capital • Winton Capital Management • Macquarie Group Limited • Panther Energy Trading LLC • Schonfeld Group • Trade Ideas LLC • Wolverine Trading • Mako Europe Ltd • PDT Partners • SCT Capital Management • Tradebot Systems, Inc. • World Financial Desk • Man Group • Peak6 Investments LP • Sea Otter Securities • TradeForecaster LLC • WorldQuant • Mana Partners LLC • Pershing LLC • Securities and Exchange • TradeLink LLC • XHedge LLC • Marquette Partners • Peta Trading Commission • TradeNext Limited • Xpert Financial Group • Marshall Wace LLP • Phi Strategies LLC • Seven Eight Capital, LLC • TradeStation Technologies • XR Trading • Maven Securities Limited • Pineau Investment Group • Simplex Investments • Tradeweb LLC • XTX Markets Limited • XY Investments

Vendors

~300 user firms ~ 50 vendors & STAC

STAC Audits

Public STAC Benchmark STAC Specifications Reports STAC Test Harness software Private reports (“community source” model) (STAC Vault)

STACresearch.com subscribers 6500+ individuals from 900+ brokers, hedge funds, vendors, ...

Market data, news, reference data, incoming orders, customer data, trading positions, etc.

Historical Real-time

STAC-M1™ (feed handling) STAC-M3™ (enterprise tick analytics) STAC-M2™

(data distribution)

(time sync) (time STAC STAC-A3™ STAC-E™*

(strategy backtesting) (trade execution) - Real-time TS Modeling Algorithms analysis ™ STAC-T1™ (tick-to-trade) STAC-A2™ (risk computation) STAC-N1™ & STAC-T0™ (network I/O)

Slower outputs Fast outputs * Not yet released. Reports Trades Cash & collateral allocations Real-time risk assessments Long-term strategy adjustments Short-term strategy adjustments Etc. Etc.

From the STAC home page:

Also exploring: • Regulatory compliance of algorithms • Cloud security • Alt data processing • Data bottlenecks in risk • Blockchain

• Performance benchmarks for tick analytics • Language/DBMS neutral • Developed by banks Dataset • Key metric: query response time (tick history)

SUT • Workload: (database software, OS, servers, storage, switches, etc.)

• Synthetic data modeled on NYSE TAQ Requests Responses SUT API • Mix of I/O- and compute-intensive operations

Query (read-heavy) results Randomized Client Threads (1..10) Reference Data (RRD) • Scalable volume and number of users Client Latency (app) info

1..n www.STACresearch.com/m3 Client host(s)

Copyright © 2018 Securities Technology Analysis Center LLC STAC-A2 (big compute) • Non-trivial Monte Carlo • Heston-based Greeks for multi-asset, path-dependent options with early exercise • Metrics: Speed, capacity, quality, efficiency, price-performance (public cloud)

• Numerous implementations STAC-A2 Input Data Input data • Intel Xeon, Xeon Phi Generators

• Nvidia CUDA STAC-A2 Implementation STAC-A2 Performance- Run Scripts control loop • IBM Power8 results files Elapsed time = t - t Initiate Operation complete submit Operation completion (tsubmit) notification • Julia language (t ) STAC-A2 complete Analysis & Reporting • OpenCL Tools STAC-A2 STAC-A2 STAC-A2 Implementation Implementation Implementation Quality file Element Element Element STAC-A2 (quality.csv) Quality Assessment Tool Output files (output*.csv) Algorithm Output Data www.STACresearch.com/a2 (also inputs from input data files, above) SUT (software, firmware, and any kind and number of Test Harness server (x86 based) processors, cards, memory, servers, interconnects, etc.)

• Workloads that emulate real-world strategy backtesting jobs • Benchmark any architecture • Measure: • Speed • Scalability • Efficiency • Price-performance (public cloud)

www.STACresearch.com/a3

• Tick-to-trade network I/O latency—i.e., latency SUT business logic beyond the app’s control. SUT If Index mod 1024 is Read index zero, send return • Like a more universal and (all hardware from message message containing and software) index less complex STAC-T1 (because no market- specific logic)

• Like a more universal and more accurate STAC-N1 Ingress message timestamped Egress message timestamped (recent tests accurate to on host LAN segment on host LAN segment ± 2 nanos)

UDP multicast TCP

Hi-fidelity hardware Passive www.STACresearch.com/nio replay of synthetic TCP messages consumer

• Standards and software that firms can use to demonstrate their application and network timestamps comply with accuracy regulations like MiFID 2 or CAT NMS • Also a research stream providing ultra-accurate assessment of network timestamping and capture devices for low-latency trading

Testing software & standards Monitor Specialized STAC-TS data statistics tools Working Group

Vendors (Time sync / Timestamping / Capture) Test results Users (HFT shops / Exchanges / Banks)

www.STACresearch.com/ts ®

* These depend on your firm’s membership & subscription level. Please contact us if you want to discuss.

• Develop product short lists • Discover new architectural approaches • Reduce in-house testing burden • Keep track of how your suppliers are doing against their competitors

www.STACresearch.com/research ®

• Benchmark your own • In the case of STAC-TS, systems (“mark them use industry standards to market”) to demonstrate time- stamp traceability to • Start internal tests of regulators new products with a well-recognized baseline • Reduce internal tools development

www.STACresearch.com/tools

• Network with the industry’s highest quality attendees • Learn real stuff • Keep your finger on the industry pulse • Get up to date on known and new vendors without having to grant each of them a 1- hour sales call • Have a little food, www.STACresearch.com/events drink, and fun

• Drive the STAC research agenda in directions useful to you • Influence the benchmark standards • Learn from peers and vendor experts • Demonstrate your own expertise to others www.STACresearch.com/domains

• Exert the ultimate influence • Get big peer recognition

• Let us know what would add value for you • That might be: • solutions you’d like to see tested • new kinds of benchmarks • tool enhancements or new tools • topics you’d like discussed in subgroups or at STAC Summits • anything else related to technical challenges in finance • Feel free to start with me: [email protected]

• User firms often refer vendors to STAC. Examples: • Using STAC as a filter • Vendor to User Firm: “Hey, you should buy our product. It is way better than other products.” • User Firm: “Sounds interesting. Call us back when you have a STAC Report, and if the results look good, we’ll be happy to set up a meeting.” • Helping a supplier build their business • User firm has taken a risk on an innovative startup vendor and wants to ensure they are viable long term. • STAC provides the vendor with inexpensive ways to scale up market awareness and accelerate its sales cycle.