Tervela Message Medium Blog | market data

So here we are sitting on the dock, watching the sunset and reminiscing about the good old days of Lehman, Bear, and - geez - even Madoff.  We watch the tide go out and get lost in the moment.  In the old days, this would be a full page ad in some retirement magazine.  (Given the state of our 401(k)s, we'll probably have a walker next to us on the dock.) Suddenly, the wind changes direction and the tide starts coming in, awaking us from our respite.

Like the tide, the market is now coming back and firms are suddenly awakening and taking notice.  This time, however, it may be a rather high tide.  Many firms that we work with spent the past several months making some much needed architectural and infrastructure changes - fixing up the dock if we follow our coastal analogy.  Other organizations, well, find themselves a bit behind after wrestling with budget and all sorts of other organizational issues, some of which now seem to be abating.  They must be careful, though, not to find themselves caught off guard, sitting on a distant sandbar while the tide rushes in.  Perhaps it's time to look for a quick return to shore.

I'm not sure what prompted this beach imagery; perhaps it was the unseasonably warm weather in the Northeast these past few days.  I do, however, blame Melanie Rodier and her recent piece "Financial Firms Face Massive Market Data Infrastructure Challenges" in Wall Street & Technology for the tide analogy.  She couples her journalism with some recent research by Adam Honoré at Aite Group.  Here is a snippet:

Market data volumes are expected to continue to grow exponentially, further straining market data infrastructures, according to a new report from Aite Group.

 

If U.S. equities message volumes continue to grow at their current pace, they should average 1.2 billion messages per day by 2011, the Boston-based firm said.

 

Storing all Level 1 and Level 2 data for U.S. equities is approaching a requirement of three terabytes per month.

 

For all asset classes, across U.S. market data rates, data volumes nearly doubled on an annual basis over the last two years.

We'll shortly see if the tide hits the seawall.

=rob.ciampa

Tags: market data (4) melanie rodier (1) wall street & technology (3) adam honoré (1) aite group (1) 

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Recently, I had the opportunity to attend the quarterly Financial Information Forum (FIF) event entitled “Doing More with Less” at Thomson Reuters in Times Square in New York.  The session opened (in typical FIF fashion) with market data statistics, which were presented by Chris Perry of Thomson Reuters and Manisha Kimmel of FIF.  Recession aside, we we’re still seeing impressive market data growth.  (Can someone please tell the market we’re in a damn recession and stop producing so much data?  Kidding, our course.  We at Tervela thrive on this.)

The follow-on panel was moderated by the esteemed Tom Jordan, President & CEO, of Jordan & Jordan.  Practitioners in the hot seats, whom I compliment on their honesty, included:

• Brett Redfearn, Global Head of Liquidity & Algorithmic Trading, J.P. Morgan
• Madalena Sheehan, Executive Director, Global Wealth Management, Morgan Stanley
• Dan Weingarten, Senior Vice President and Co-Director of Global Sales and Marketing, Penson Worldwide

My takeaway was about efficiency: in how we operate, in how we process data, in how we work with our partners, in how we continue to make our customers happy. Though certainly an important tactic, I’d much rather be an organization that’s already up the efficiency curve.   As AIG and GM are proving, it’s not a great time to retool.  But we also heard how volatility and increasing volumes are having an adverse effect on trading systems.  The panelists described the unerasable link between business and technology.  They discussed their concerns about the risk of technical outages.  Think about the link:  technical outage = business outage. Obvious?  Of course, but just make sure your movement to efficiency doesn’t leave you vulnerable.

=rob.ciampa

Tags: financial information forum (2) fif (1) jordan & jordan (1) market data (4) efficiency (1) 

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The latest issue of Wall Street & Technology (January/February 2009 Issue) came late.  I thought I was dumped because I was honest on the subscription and didn’t say I was buying $3.2 billion of Complex Event Processors.  Regardless, the current issue features a special report on “The Modern IT Organization.”  The lead article and the supporting pieces are a very good read.  There is a good deal of ink on cloud computing, but my comments on that are for another day.  In the meantime, the intro quote was telling:

For the first time in recent memory, senior technology leaders’ No. 1 mandate is not to build technology to prepare for business growth.  Instead the top IT priority across Wall Street is to manage technology efficiently.

But…  having just read the 2008 Financial Information Forum year-in-review that showed the market data for EVERY asset class increasing, I have to wonder whether we’re setting ourselves up for a market data crisis.  Not sure the cloud computing junkies are going to give us a sunny day on that one.

=rob.ciampa

Tags: wall street & technology (3) it (1) cloud computing (1) market data (4) financial information forum (2) 

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A recent article by Fayazuddin Shiraz in Chief Executive turned me onto a post by Jonathan Schwartz, CEO of Sun, lauding the company’s recent announcement of 1 million messages per second for RMDS (Reuters Market Data System). Congratulations to Sun and Intel on the worthwhile collaboration. There is, however, an interesting implication: what happens to the network when you source such a vast amount of market data to a large number of very hungry electronic consumers? (Who may, of course, generate derivative traffic.) Rhetorical question perhaps, but this volume of messaging data can destroy even the most well-provisioned infrastructure regardless of the bandwidth ceiling.

Some time ago (in the pre-steroids era), we had message traffic flowing on a separate network. It was the right thing to do. Later, that network was collapsed into the “new and improved” high performance switched infrastructure. All the data lived happily together for a while – until message volumes went up and multicast trashed the network. And everyone screamed about low latency. Now we’re seeing the pendulum swing back to separate networks for messaging again. We don’t have time to manage one network and soon we’ll have two.

=rob.ciampa

Tags: rmds (1) market data (4) low latency (4) 

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