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.
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.