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City Index case study: Achieving even faster foreign exchange pricing

Delivering quality foreign exchange pricing

Ensuring the consistent publication of fast and competitive prices is a top priority at City Index.  In an environment where pricing even a fraction of a second behind the market can have a major impact on P&L, maximising system performance and minimising latency is of paramount importance.

Following a successful project with Velocimetrics to improve the performance of their equity pricing systems and market data quality, City Index turned its attention to further enhancing the speed of its foreign exchange (FX) pricing.

The Requirements: Identifying latency sources

City Index wanted the ability to very quickly pinpoint and resolve possible latency sources throughout their FX pricing flow. Offering thousands of markets, they required a real-time, scalable, latency monitoring solution able to:

  • Identify any delays occurring throughout the entire price production process from data receipt to the distribution of prices out to clients
  • Raise alerts should a feed from a liquidity provider become inaccessible
  • Detect if a particular system or network is at risk of being overloaded
  • Provide a business level understanding of the latency impact

Encrypted traffic monitoring with minimal impact

A major challenge presented by this project was that the data delivered by liquidity providers was encrypted.  Monitoring these streams at the network level would have required a component to sit in the middle to decrypt the conversations, so the challenge was to gain full visibility without sacrificing accuracy and with minimal system impact.

 

The Approach: Combined application and network monitoring

Velocimetrics identified that accessing this encrypted data was best achieved by embedding data capture agents within City Index’s feed handlers, bringing the added benefit of enabling intra-process latency to be broken down and better understood.  To minimise the impact, a solution was devised that limited this type of data capture to a single component.  Additionally, as Velocimetrics restricts embedded agent activity to simply capturing data and applying a timestamp, the potential impact of this approach was further reduced.  Then at multiple additional monitoring points, non-intrusive network capture agents were applied, providing full visibility from data source to distribution.

Velocimetrics then correlated the information, a process that involves linking the data captured at different points together, to reconstruct a seamless end-to-end flow, and association techniques were applied to identify the relationships between these flows.  In doing so, the particular FX ticks used to generate individual prices could be distinguished, identifying the tick to price flow and the timings for each individual hop.

‘We offer thousands of different instruments, if a company offers 50 instruments it’s easy to monitor latency, but the bulk monitoring we required was very different.’

Gautam Dixit, Head of Pricing and Analytics, City Index

The measurements delivered

This solution enabled City Index to easily understand:

  • The exact time that FX pricing data arrived at their gateway
  • How long it took for their pricing engine to consume this data and price individual instruments
  • The time it then took their price distribution system to disseminate spreads out to customers

The approach provided a high degree of transparency.  As Gautam Dixit, Head of Pricing and Analytics described, delivering these measurements along with the context of the items being examined ‘enabled City Index to monitor what is important to the business, not just what is important to IT’.

 

The Results

Velocimetrics has enabled City Index to achieve even faster FX pricing, by swiftly identifying opportunities to enhance performance across their entire FX price production infrastructure.  Here are just some examples of how the solution has proven beneficial:

Faster reactions to market movements

By comparing the timings achieved at each monitored point to expected performance, latency issues can now be, as Gautam Dixit describes ‘seen very quickly and diagnosed much quicker’ because Velocimetrics ‘gives us an entry point showing us where to look to work out what needs improving’.

Not only is City Index alerted to these instances as they happen, Velocimetrics also provides them with an aggregated overview of all outliers for the day, with the ability to then drill down into any given outlier for a complete hop-by-hop forensic analysis of the day’s events.  All of which can now be achieved without the need to search through log files.  This insight has enabled City Index to understand how their pricing and distribution systems can be further tuned to eliminate time delays and react even faster to changing conditions.

Instant notification of feed issues

Velocimetrics has enabled City index to more effectively monitor and ensure connections to all liquidity feeds are alive and well on a continuous basis.  As Gautam Dixit explains We have many systems scraping log files and generating alerts, but with Velocimetrics it’s instant.  The moment something goes red we know it’s down and that’s a big improvement’.

Basing pricing decisions on liquidity provider performance

Using Velocimetrics’ analytics, City Index can now compare the latency performance of the different liquidity providing banks and when making a pricing decision give more weight to the information delivered by the quickest banks for the required currency pair.  This enables City Index to price with a greater degree of confidence.

Enhanced system and network stability

With Velocimetrics, City Index is now able to gain a real-time understanding of how data is flowing throughout their environment, identifying points of possible overload in advance and facilitating more effective capacity planning.

With faster pricing having a direct impact on the P&L, Velocimetrics has become an indispensable element of City Index’s infrastructure.

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‘There are lots of monitoring solutions measuring CPU usage and network latencies, but Velocimetrics monitors at the business level. We can now trace tradable quantities from their source right up to the point where we push prices out to our clients.

This quality of service around the thousands of instruments we price is a big benefit’

Gautam Dixit, Head of Pricing and Analytics, City index

 

About City Index

cityindex_logo

  • A leader in spread betting, CFDs and FX trading
  • 2 million+ trades transacted every month for retail investors in over 50 countries worldwide
  • Provides access to indices, shares, currencies, commodities, bonds and interest rate markets

Goals

  • Monitor real-time FX pricing performance from data source to distribution
  • Minimise the impact of monitoring encrypted data on production systems and infrastructure

Approach

  • Minimal application monitoring combined with non-intrusive network monitoring
  • Per component latency measurement

Results

  • Faster pricing with lower jitter
  • Instant notification of feed issues
  • Stronger understanding of liquidity provider performance
  • Advanced detection of potential capacity issues
  • Reduced risk