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Australian Securities Exchange: Assuring Consistently Fast and Reliable Order Matching

As one of the world’s top 10 largest listed exchange groups measured by market capitalisation, the Australian Securities Exchange (ASX) attracts a global membership that relies on the performance of its state-of-the-art technology for fast and efficient market access and order matching.

Ensuring that the exchange remains internationally competitive has been integral to its ongoing success and this has led to significant investment in its low latency trading infrastructure, which includes ASX Trade. ASX Trade provides one of the fastest integrated equities and derivative platforms in the world.

 

Gaining Visibility

Jimmy halstead

Jimmy Halstead, Technical Support Analyst, ASX

Members can send orders to ASX Trade through either the OMNET API trading interface or the more recently introduced OUCH interface, which offers a premium service facilitating even faster market access. ASX were keen to achieve enhanced visibility across both their OMNET and OUCH environments so they could more effectively monitor, detect and troubleshoot issues that could cause potential delays.

As Jimmy Halstead a Technical Support Analyst at the ASX describes ‘We wanted more visibility of what was happening, and when our transactions were taking time, we wanted to know in what hop, or what part of that round-trip, they were taking an unexpected amount of time.’

Whilst the ASX knew the round-trip latencies being achieved, they wanted to be able to break this down hop-by-hop, to track trends and enable the rapid root cause analysis of any problems.

As Jimmy Halstead explained, ‘Regardless of whether the latency being achieved is good or bad, we wanted to have a stronger understanding of what it actually is and where a transaction is taking most of its time.’

 

The Solution

The solution implemented combined the strength of the EndaceProbeTM Intelligent Network Recorder (INR) to provide 100% packet capture, network monitoring, recording and nanosecond accurate time stamping with Velocimetrics’ powerful decoding, business-level analysis and correlation capabilities.

The data is monitored non-intrusively at 4 different points throughout its flow:

  • As the data arrives outside of the member gateway
  • Once it has passed through the member gateway
  • Before it enters the outgoing member gateway
  • And finally, once it has exited the member gateway

On receipt of the network packets, at each of these points, Velocimetrics’ capture agents are able to re-inflate the payload and decode the OMX protocols, enabling the object’s business level information to be extracted. Velocimetrics then forwards this information along with the time stamp and TCP/IP details for real-time analysis.

By identifying driver relationships between the different business items captured at the various hops, the data can then be correlated and the complete flow of events reconstructed. This approach has enabled a real-time hop-by-hop view of all activities taking place to be achieved, accompanied by latency metrics and detailed business level analytics to deliver complete operational oversight.

 

The Results

Bill McDonald, General Manager Enterprise Architecture Group at ASX

Bill McDonald, General Manager Enterprise Architecture Group at ASX

The solution assures the ASX of its performance levels on an on-going real-time basis, raising alerts to highlight anomalies and delivering detailed performance analytics, as Bill McDonald, General Manager Enterprise Architecture Group at ASX commented, ‘Velocimetrics provides a visual aid that enables us to make sure that things are ticking along OK.’

The ASX can now very quickly detect if an issue has taken place and pinpoint its exact location, as Jimmy Halstead describes, ‘When there is an event we can now see it has happened and interrogate it more easily than before’. He went on to say ‘previously we would have had to make an educated guess as to where the problem was but now we have a solution that allows us to track it down on the wire.’

The solution has also brought additional benefit by enabling comparative performance analysis as new services have been introduced and infrastructure upgrades have taken place:

Validating service level achievement

The ASX were keen to further assess the performance of their OUCH interface and as Jimmy Halstead explains, ‘We were able to use Velocimetrics to validate that the orders being entered using our premium service were reaching the matching engine before those entered using our standard order entry service.’ Additionally, as Velocimetrics enables users to slice and dice the data they wish to analyse, the ASX can also understand the actual performance being achieved by specific order types or individual members. This enables the ASX to provide more detailed participant support and diagnosis of participant issues.

Quality Assuring Major System Upgrade

The ASX also recently conducted a significant operating system upgrade. Using Velocimetrics they were able to compare statistics before and after the change including average performance (mean latencies), outliers (long term moving percentiles) and performance under different load conditions, allowing them to verify the upgrade was an improvement on its predecessor.

With speed and reliability proving integral to member retention, the ability to monitor, detect and troubleshoot issues quickly and efficiently is helping the ASX to more effectively manage performance and maintain its competitive position internationally.

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“When there is an event we can now see it has happened and interrogate it more easily than before”

Jimmy Halstead, Technical Support Analyst, ASX

About Australian Securities Exchange

ASX logo

  • Operates infrastructure that supports the stability of Australia’s financial markets
  • Total market capitalisation of over $1.5 trillion
  • Equity value traded exceeds $1 trillion
  • World’s 1st major market to open each day
  • 180 participants
  • 2,200 listed companies and issuers

Issue

  • The ASX wanted to be able to effectively monitor, detect and troubleshoot issues that could impact their member’s trading experience
  • They wanted to examine the hop-by- hop performance of trade flow data

Approach

  • Non-intrusive network data capture
  • 4 monitoring points to measure hop-by-hop performance
  • Detailed business-level analysis

Results

  • Performance is now monitored continuously, in real-time
  • Service level performance can be validated
  • Performance levels can be compared to historical norms
  • Individual client issues can be more quickly isolated and diagnosed