PTRM
Figure 5: CEP For Programmatic Trading
CEP is ideally suited to traded markets
wheretradesandpricesonaliquidinstrument
can generate sub-second update events or
ticks. Exchanges and other trade venues will
be distributing trade and price update (or tick)
data in real-time for every instrument.
Exchanges are typically offering a range of
traded instruments that will number in the hundreds. Hence PTRM solutions need to manage any number of trading
an exchange will be publishing hundreds, if not thousands, of strategies and risk monitoring activities operating over
trade and price updates every second. multiple trading venues. This requires an ability to connect
PTRM platforms as illustrated in Figure 5 are designed to and read input event signals in real-time from various APIs. It
monitor these trading events, detect correlations and then also means that the Correlator is concurrently processing
generate actions based on pre-programmed algorithms. multiple correlation scenarios over very dense data streams.
Currently, the majority of these ‘actions’ are trade orders, but High-end performance PTRM platforms such as Apama have
they can just as easily be risk alerts, e.g., a notification as a been benchmarked to process in excess of 250,000 events per
traded position breaches an exposure limit. They can also second in real-time on a single-threaded processor.
send signals to downstream systems – e.g., a trade
confirmation. PTRM Architecture
AttheheartofaPTRMplatformisaprocessingenginecalled A PTRM platform must be fully integrated within a trading
an Event Correlator. The Correlator sits in an integration infrastructure if it is to deliver full trading and risk capability
frameworkwhichprovidesthetransportlayerfor Adapters.The seamlessly within an existing environment. To function
Adapters link the Correlator to external event sources such as effectively, a full straight-through-processing environment is
pricing vendors and trading venue APIs. As well as required. The solution diagram (Figure 6) is a high level view
downstream distribution of signals generated by the of the major functional components of a typical PTRM
Correlator, the integration framework can record all the event solution. This simplified diagram illustrates the main flows of
data to a temporal database or EventStore. This archiving information within the integrated solution. Inbound data
process is essential to facilitate back-testing of new trading flows down from the various market data providers into the
algorithms against real, time-sequenced data. The EventStore PTRM platform (green and blue blocks), and the order flow,
canre-injecthistoricaldataintotheCorrelatortosimulatehow whether originating from manual point-and-click trades or
an algorithm performs against real-life scenarios. from the programmatic sources, flows back up the stack to the
execution venues.
Figure 6: PTRM Architecture
The nucleus of the solution is the Correlation
Engine and the event pattern detection hosted
therein. This is represented by the Algorithmic &
Strategy Trading Block. This contains the
programmatic trading logic which can be
interfaced to third-party analytic tools and
order management rules. This is the main
customisable component of the solution which
is tuned to model user-specific trading and risk
requirements.
Other blocks represent customisable
functional components typically built on top of
the Correlation Engine to embed business
processandordermanagementlogicthatallows
users to automate commercially competitive
and differentiated strategies. Here are examples
of customisable logic in the PTRM Use Cases.
90 worldPower2009
Page 1 |
Page 2 |
Page 3 |
Page 4 |
Page 5 |
Page 6 |
Page 7 |
Page 8 |
Page 9 |
Page 10 |
Page 11 |
Page 12 |
Page 13 |
Page 14 |
Page 15 |
Page 16 |
Page 17 |
Page 18 |
Page 19 |
Page 20 |
Page 21 |
Page 22 |
Page 23 |
Page 24 |
Page 25 |
Page 26 |
Page 27 |
Page 28 |
Page 29 |
Page 30 |
Page 31 |
Page 32 |
Page 33 |
Page 34 |
Page 35 |
Page 36 |
Page 37 |
Page 38 |
Page 39 |
Page 40 |
Page 41 |
Page 42 |
Page 43 |
Page 44 |
Page 45 |
Page 46 |
Page 47 |
Page 48 |
Page 49 |
Page 50 |
Page 51 |
Page 52 |
Page 53 |
Page 54 |
Page 55 |
Page 56 |
Page 57 |
Page 58 |
Page 59 |
Page 60 |
Page 61 |
Page 62 |
Page 63 |
Page 64 |
Page 65 |
Page 66 |
Page 67 |
Page 68 |
Page 69 |
Page 70 |
Page 71 |
Page 72 |
Page 73 |
Page 74 |
Page 75 |
Page 76 |
Page 77 |
Page 78 |
Page 79 |
Page 80 |
Page 81 |
Page 82 |
Page 83 |
Page 84 |
Page 85 |
Page 86 |
Page 87 |
Page 88 |
Page 89 |
Page 90 |
Page 91 |
Page 92 |
Page 93 |
Page 94 |
Page 95 |
Page 96 |
Page 97 |
Page 98 |
Page 99 |
Page 100 |
Page 101 |
Page 102 |
Page 103 |
Page 104 |
Page 105 |
Page 106 |
Page 107 |
Page 108 |
Page 109 |
Page 110 |
Page 111 |
Page 112 |
Page 113 |
Page 114 |
Page 115 |
Page 116 |
Page 117 |
Page 118 |
Page 119 |
Page 120 |
Page 121 |
Page 122 |
Page 123 |
Page 124 |
Page 125 |
Page 126 |
Page 127 |
Page 128 |
Page 129 |
Page 130 |
Page 131 |
Page 132 |
Page 133 |
Page 134 |
Page 135 |
Page 136 |
Page 137 |
Page 138 |
Page 139 |
Page 140 |
Page 141 |
Page 142 |
Page 143 |
Page 144 |
Page 145 |
Page 146 |
Page 147 |
Page 148 |
Page 149 |
Page 150 |
Page 151 |
Page 152 |
Page 153 |
Page 154 |
Page 155 |
Page 156 |
Page 157 |
Page 158 |
Page 159 |
Page 160 |
Page 161 |
Page 162 |
Page 163 |
Page 164