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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