Exegy Inc., a leading provider of managed services and low-latency technology for market data normalization and distribution, announced today the availability of Exegy Journal Replay – a fully managed service that enables high-precision capture and scaled replay of multiple market data feeds.
The managed service addresses a growing need to accurately replicate the behavior of electronic trading systems under previous market conditions, as well as to demonstrate their capacity, speed, and stability in future market conditions with higher market data rates. “The capabilities of Exegy Journal Replay allow market participants to respond to competitive pressures to reduce latency and to improve execution quality, corporate mandates to bolster system stability and to lower operational risk, and regulatory requirements to prove the capacity and resiliency of trading systems,” says chief executive officer James O’Donnell. “This offering is our response to a chorus of demand from our customers to enable precision testing of client applications and related client infrastructure that are driven by Exegy market data appliances in production environments globally,” adds O’Donnell.
When combined with Exegy market data appliances in a testing environment, Exegy Journal Replay enables firms to drive electronic trading systems with the same normalized market data event streams that occur in the live market environment. This allows the complete trading system to be exercised, rather than relying on piecemeal testing of individual client applications or components. Testing scenarios may be precise reproductions of previous market conditions to analyze previous trading system behavior and performance. This capability is invaluable for agency execution businesses needing to demonstrate best execution to customers and regulators, as well as market making businesses seeking to optimize the performance of quoting applications. Testing scenarios also may be high-resolution simulations of stressful market conditions with increased market data rates. This allows firms to quantify the performance of trading systems under stress, to identify maximum system capacity, and to verify the behavior of the system when data rates exceed maximum capacity. “Even if a firm is not subject to regulations such as RegSCI that require ongoing certification of system capacity and resiliency, the competitive landscape and the disruptive consequences of trading system failures compel firms to achieve this level of sophistication in the development and testing of their trading systems,” adds O’Donnell.
Exegy Journal Replay is enabled by a fully managed appliance that is deployed to a client data center and records raw market data packets from multiple real-time market data feeds supplied by the client. The standard appliance model provides storage for two weeks of contiguous raw data for typical combinations of feeds, such as all direct feeds for North American equities and commodities. The appliance assigns a timestamp to every received packet that is accurate to within 20 nanoseconds. The high-resolution timestamps allow the appliance to reproduce traffic patterns with high precision when replaying market data from multiple feeds. The appliance also supports replay scenarios that precisely scale the traffic patterns, slower or faster, relative to the recorded rate. “The ability to produce accurately scaled microbursts of raw market data while maintaining synchronization across multiple market data feeds is a differentiating feature of Exegy Journal Replay,” says chief technology officer David Taylor. “Commodity data capture and replay tools are not capable of delivering the accuracy and capacity required to test mission-critical trading systems,” adds Taylor.
Exegy Journal Replay is delivered as a managed service that includes monitoring and management of the appliance to ensure comprehensive recording of raw market data in the client’s environment. In addition, Exegy Managed Services constructs replay scenarios from a user-specified set of feeds, time ranges, and scaled rates. An easy-to-use set of web utilities allows users to select, start, and stop replay scenarios on demand. A key feature of the managed service is the orchestration of replay scenarios with Exegy market data appliances at the head of the test environment. “Synchronizing the configuration and operational state of Exegy market data appliances with user-defined replay scenarios is a complex, but essential part of staging accurate reproductions of trading system behavior,” says David Taylor. “It has always been Exegy’s mission to deliver value and minimize complexity through our managed services, and Exegy Journal Replay is our newest example of that commitment,” adds Taylor.