Adaptive Testing of Capital Market Feeds improves Quality Assurance

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Participants in today’s Capital Markets, consume an ever growing volume of real-time data
from multiple feeds in order to accurately report price and trade-related data for a range of
financial instruments.

Traders, Investors and Regulators, rely on the integrity of market feeds, to execute regulatory compliant
trades in equities, fixed-income products, derivatives and currencies and to maintain market stability.
It is therefore important that feed providers develop a comprehensive test strategy for feed verification
that detects any anomalies under all trading conditions.

Does your feed test strategy cover dynamic high load conditions?

The answer is probably – NO.
Most strategies for feed testing employ a functional test, covering typical trading scenarios. These test
setups are usually comprised of a small number of paired Buy/Sell counter-parties and the trade
message flows are strictly time-lined, with the low submission rates, to ensure synchronization of trade
actions and the repeatability of order matching.
These functional tests are not designed to cover high load conditions.

Why are “High Load” tests difficult to setup?

In a true production environment, the output from Market Feeds is non-predictive.
The output of a feed will have a different message sequence and data content, even if, the trade orders
for each trading session are replayed with the same timed sequence. This is due to the effect of
competing (asynchronous) trading actions from multiple client sessions leading to a different order of
trade matching between counter-parties. The order of matching is affected by factors such as, order
submission rates and the number of clients competing for the same trade.
Since the feed is non-predictive, comparing it output against a static data reference is not a feasible test
setup under high load conditions. The sequence of trades changes and the message content (i.e. price,
volume, etc.) varies between each test run.
This presents a significant challenge to the development of a comprehensive test strategy.

Introducing “Adaptive Testing” for Market Feeds

Adaptive testing uses trade information (i.e. Drop-Copy, Execution Reports, etc.) from within the trading
system, sourced in real-time, to create a dynamic reference stream to verify the messages on the feed
under test.
What differentiates adaptive testing from other approaches is the real-time nature of the reference
data, used to compare both feed message sequence and content.

Single Market Feed test setup covers all trade flow scenarios.

This test technique automatically adapts to different trade message input stimulus without the test
engineer having to change the feed test setup. A single adaptive test setup adjusts to any front-end test
scenario presented to the trading system and automatically verifies that the back-end feed output is
correct.
Adaptive testing can be used to support real-time monitoring of data feeds in both development and
production environments – guarding against message drop-outs, malformed messages and inconsistent
data.
Inceptrum has incorporated this adaptive technique in its new test tool, called Feed Comparator
(“FEEDCMP”) for market data, regulatory and drop-copy feeds.
To learn more about data feed testing, follow the link to Feed Comparator (“FEEDCMP”)
at  www.inceptrum.com/en/feedcmp-2/

 

About INCEPTRUM

INCEPTRUM Technologies Inc. is a Canadian privately held company, located in Ottawa, Ontario, Canada. Providing creative, leading-edge, low data latency solutions for the financial industry.
For more information, visit www.inceptrum.com.

Media Contact:

Ian Hughes,
Dir. Business Development,
Inceptrum Technologies Inc.
ian.hughes@inceptrum.com
1-613.699.2016 (direct)
1-877.763.6996 x103 (toll-free)

IIROC DATA Feed CONTENT Verification Using Adaptive Testing

The client

A large Canadian Exchange (based in Toronto), servicing a wide cross section of members of the financial industry.

The Exchange wanted to expand its QA test coverage related to its regulatory (IIROC) data feed, by adding test strategies to verify the data content of trading messages and the transmission sequence of message, when trading under high load conditions.

The integrity of the regulatory data feed is key to facilitating trading transparency and maintaining the business reputation of the Exchange. Any inaccurate data transmission to the regulator, would lead to fines and other penalties, and have a direct impact directly on their reputation.

 

The challenge

To validate that the regulatory data feed operates consistently and meets performance targets under variable high load trading conditions.

In a true production environment, the output from regulatory data feed is non-predictive.

The regulatory data feed will have different message sequence and data content – even if, the trade orders for a trading session are replayed with the same timed sequence, due to the effect of competing (asynchronous) trading actions from multiple client sessions, leading to a different order of trade matching between counter-parties. Matching order is affected by many dynamic factors, such as order submission rates and the number of clients competing for the same trade.

Therefore, since the regulatory data feed is non-predictive, comparing its output against a static data reference is not a valid test setup. The sequence of trades changes and the message content varies between each trading session, when running under high load conditions.

This presents a significant challenge to the development a comprehensive regulatory feed test strategy.

 

Our solution

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Exchange Data Feed Verification Using Adaptive Testing

The client

Is a leading Canadian Exchange based in Toronto, servicing a wide and growing cross section of members from the financial industry, and have engaged INCEPTRUM on numerous occasions to provide enhanced test solutions for its trading network.

On this occasion the Exchange was preparing to deploy its next generation trading system, to improve trading performance (by reducing latency) and maintain their market presence as a cost effective and leading high performance trading venue.

The integrity of the market Data Feed is of paramount importance to their business reputation and market data volume and rates were expected to increase due to the improved performance of the new trading system.

The challenge

To validate (in real-time) that their Market Data Feed operates consistently and meets the new performance targets under variable high load trading conditions.

In a true production environment, the output from Market Data Feed is non-predictive.

The feed output will have a different message sequence and data content – even if, the trade orders for each trading session are replayed with the same timed sequence. This is due to the effect of competing (asynchronous) trading actions from multiple client sessions leading to a different order of trade matching between counter-parties. Order of matching is affected by many factors such as, order submission rates and the number of clients competing for the same trade.

Since the data feed is non-predictive, comparing its output against a static data reference is not a feasible test setup, when running under high load conditions. The sequence of trades changes and the message content (i.e. price, volume, etc.) varies between each test run.

This presents a significant challenge to the development of a comprehensive test strategy.

Our solution

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