Giving exchange members access to comprehensive latency statistics of their own trading activities has been one of the most popular steps that we have taken to improve transparency regarding our trading system. Members praise the granularity of the data, which allows them to pinpoint the cause of network delays. Potential customers have also expressed their satisfaction with our willingness to show the market what's behind the curtain. In addition, releasing these statistics has led to enhanced cooperation between member firms and the exchange. Together we have identified areas of concern and worked jointly to reduce latency throughout our trading network, which benefits the overall marketplace.
Since 2009, we have given customers access to latency statistics via the closed Member Section on our website (www.eurexchange.com). We provide this information for market data delivered by the Enhanced Broadcast Solution as well as trading activity that is executed via the Enhanced Transaction Solution.
In terms of our multicast market data feed, the Enhanced Broadcast Solution, we provide one-way network latency statistics reports that detail latency measures between the feed distribution data centre to the Access Point (or PoP, point of presence) location to which the customer connects.
On the order and execution side, with the Enhanced Transaction Solution, we provide network round-trip statistics from its measuring point located in close proximity to the Eurex gateways up to a member's application server and measure the time it takes for network packets sent to these machines to be acknowledged. Our web-based statistics include round-trip time information for all transactions submitted via the Enhanced Transaction Solution. Customers like this type of benchmarking because it enables them to stay on top of developments and gauge their performance against their peers.
Customers are encouraged to verify for themselves the next day reports that we make available on our website. Since the introduction of Eurex Release 13.0 in November 2010, they have had the ability to measure round-trip times in real time. We have built measure points into the interface application to enable members to gather their own statistics.
The sample report (figure 1) shows what information a fictitious member would receive as part of our standard latency reports.
Figure 1: Sample Eurex Latency Report - click for a larger view
Figure 2: Data Centre Configuration
Inside the latency statistics
Members have access to detailed latency information as well as to our technology customer support staff providing them with any additional clarification. Thus, they better understand our methodology and can evaluate the statistics that we give them in a more meaningful way. The descriptions below are based on the graphics provided in each section and are helpful in explaining the various technical setups and related measuring points.
Enhanced Broadcast Solution
For market data delivered via the Enhanced Broadcast Solution interface, we provide one-way latency statistics for messages in one-minute time intervals over the entire business day. The measurements that we provide take into account the sequence of message processing and transfer to the individual feed distribution data centres. The contents of the information include: minimum, average and maximum latency (in µs), as well as 90 percent and 99.5 percent latency percentile.
Members can use this information to determine if Eurex has incurred any delays in the dissemination of market data to its access points or if the reason for potential latency maybe located elsewhere, i.e. a member's in-house network infrastructure.
Enhanced Transaction Solution
On the order and execution side, we provide network round-trip statistics at a TCP-level from a measuring point located in close proximity to the Eurex gateways up to a member's application server. We also make available information about the ranking of a member's Enhanced Transaction Solution connectivity. In addition to these round-trip times, we set up statistics with respect to the processing times of the matching engine.
Figure 3: Available Measure Points
Figure 3 illustrates a connection to the Eurex
backend via the Enhanced Transaction Solution interface and the various timestamps which can either be determined by members themselves (M1 & M2), which are already provided by Eurex (E1 & E4) or which will be made available by Eurex in the near future (E3-E2, E6-E5).
• M1/M2: represent the timestamps that can be taken by a member's application to determine the functional round-trip time for a transaction, i.e. the time taken from when a request is submitted to the time when a response is received from the Eurex backend.
• E1/E4: are currently provided by Eurex in two different forms:
• - Real-time in the response notifications from the Eurex® system back to the client application that can be used with M1 and M2 to determine to what extent the gateway processing, host processing and network travel times between the gateway and the hosts contribute to the total round-trip times.
• - The average difference between these two timestamps is also provided. The figures provided represent performance statistics for the entire trading session. Further statistical, e.g. fastest/slowest transaction processing times and ranking information is also provided.
• E2/E3: These timestamps are taken in order to calculate the average processing times for the related transactions on the matching engines. The average difference between these two timestamps is also provided for the whole trading day.
• E5/E6: The figures represent the average TCP ack times (i.e.) the time taken between a TCP data packet being sent from Eurex to a member's application server to the time, which the TCP ack is received on Eurex's measuring device. The average difference between these two timestamps together with further statistical information is also available.
Data centre optimisation: further reducing latency with new hardware
Releasing latency statistics is just one of the many ways how we at Eurex enhance the trading network. On June 4, 2011, we introduced new gateway hardware for proximity clients to further reduce processing times for Enhanced Transaction Solution gateways.
Members trading from within our Equinix proximity data centre are encouraged to route orders via the newly optimised Enhanced Transaction Solution gateways made available on June 18 of this year. This results in latency savings of about 120 µs round-trip. In our Enhanced Transaction Solution reference data, we include an optimal gateway flag that shows which data centre processes trades for which product. Members can assure fastest possible processing by routing transactions directly to each product's primary data centre.
Eurex is planning to migrate the primary matching services from both of our existing private data centres to the Equinix data centre by the end of 2011. This will further decrease processing and round-trip times for customers trading out of the Equinix data centre.
Enhancements with Eurex Release 14.0
With Eurex Release 14.0, which will go live on November 7, 2011, we continue to enhance our trading system not only to reduce latency, but also to improve functionality.
We will introduce a new Load Indicator field in the packet header of the Enhanced Broadcast Solution. This field will provide a measure of how heavily loaded a specific Eurex matching engine is. It contains the duration (in microseconds) from the time the "oldest" order/quote in a delta message in the given datagram has entered the Eurex matching engine to the dispatch time of the datagram. This information will help members optimise their trading.
Another of our aims is to give members greater choice in how they connect to Eurex Exchange and Eurex Clearing. Enhancing connectivity with FIX-based alternatives is a major focus of the new software release. Members will also benefit from a significant reduction in programming complexity thanks to the introduction of connectivity options that feature the industry standard FIX. In line with our Technology Roadmap, the changes in the new release lay the groundwork for a medium-term decommissioning of the previous generation Eurex connectivity infrastructure.
Though connectivity features prominently, the new release also contains a number of additional features such as enhanced collateral management services, and improvements to the Advanced Risk Protection. These changes promote safety and capital efficiency, which remain priorities for Eurex Clearing, Europe's leading clearing house for securities and derivatives transactions.
Figure 4: Enhanced Broadcast Solution - Latency Impact for Market Data
Latency is a key concern for the high-frequency community and ways to reduce delays throughout trading and clearing processes will remain a focal point going forward, both for Eurex Exchange and for the industry at large. We provide members with comprehensive network latency statistics to help us work together to identify potential problems and resolve them quickly.
Network latency is just one part of the equation. So, we are actively developing additional valuable ways to increase the transparency of our entire system for our customers. On top of efforts to share information with customers, we continue to introduce new software and hardware to help us enhance system performance. And by continuing to roll out new functionality, as in the case of the upcoming Eurex Release 14.0, we believe that we are continuing down the right road.