BATS Chi-X Europe Connectivity Manual

Transcription

1 BATS Chi-X Europe Connectivity Manual Version June 2013 BATS Trading Limited (trading as BATS Chi-X Europe ) is authorised and regulated by the Financial Services Authority. BATS Trading Limited is a wholly-owned subsidiary of BATS Global Markets, Inc. and is a company registered in England and Wales with Company Number and registered office at 10 Lower Thames Street, London EC3R 6AF. This document has been established for information purposes only. None of the information concerning the services or products described in this document constitutes advice or a recommendation of any product or service. To the extent that the information provided in this document constitutes a financial promotion as defined by section 21 of the Financial Services and Markets Act 2000, it is only directed at persons who qualify as a Professional Client or Eligible Counterparty. Persons who do not qualify should not act on or rely upon it.

2 Introduction BATS Chi-X Europe offers access to all trading books over a single connection known as the BATS ONE Network, this document explains the options available. Connectivity is charged as per Connectivity Pricing Participants are responsible for choosing their connectivity provider, arranging for connectivity to the datacentre and paying all associated communications charges including cross-connects within the data centre. Contacts Phone: noceurope@bats.com ** NEW Trade Reporting Facility (TRF)** Access to the new TRF environment follows the same methods as access to the existing BXE (BATS Europe) & CXE (Chi-X Europe) environments. In addition there will be GUI access to TRF via the Internet, please contact the noceurope@bats.com for further information. BATS Trading Limited 2013 Page 2 of 11

3 Simplified network diagram LD3 Secondary Site (Equinix, Park Royal) LD4 Primary Site (Equinix, Slough) Interxion BATS ONE PoP (Hanbury Street) Connectivity locations The BATS ONE Network is available at the following locations: LD4 Primary datacentre, Slough LD3 Secondary datacentre, Park Royal Interxion City of London point of presence Market data & Certification access is also available via the internet. BATS Trading Limited 2013 Page 3 of 11

4 Connectivity Options The following network connectivity choices are supported: IPSec VPN via the Internet for certification and test access only Datacentre cross-connect Directly connected via metro ethernet Extranet Internet for TCP PITCH only IPSec VPN Participants may connect using IPSec over the Internet. Access to all TCP-based feeds for certification and test only Certification multicast PITCH available using GRE tunnel LAN-to-LAN IPSec VPNs only IP addresses used must be registered Datacentre cross-connect Participants may take datacentre space and cross connect at any of the datacentres locations. The technical and commercial relationship is between the datacentre provider and the Participant. BATS Chi-X Europe is not involved. Participant orders and pays for the cross connect Directly connected via metro ethernet Participants may connect via a metro ethernet circuit. No co-location space is required. Telco s must only deliver the circuit to the designated telco meet me rooms in the datacentre. BATS Chi-X Europe does not host telco equipment. The cross-connect from telco demarcation point is ordered by BATS Chi-X Europe and re-charged to the Participant. Extranet Participants may connect using an extranet. Extranet supplier provisions high-speed up links for multiple Participants. The technical and commercial relationship is between the Extranet provider and the Participant. Not all extranets carry multicast PITCH. BATS Trading Limited 2013 Page 4 of 11

5 Internet for Market Data Participants may consume TCP PITCH via the internet Non-resilient service from LD4 only Each set of TCP PITCH ports are charged as per Connectivity Pricing Estimated latency to Equinix LD4 All times are round trip, measured under normal operation, latencies will increase if running on backup circuits. Interxion Equinix LD3 490uS 400uS Physical Interfaces The following physical interface specifications are supported as standard. For other interface specifications contact Location Speed Media Equinix LD4 Slough 10G SR (multi-mode) & LR (single-mode) 1G SX (multi-mode), LX (single mode), 1000BaseT <1G 100BaseT, 10BaseT Equinix LD3 Park Royal 1G SX (multi-mode), LX (single mode), 1000BaseT <1G 100BaseT, 10BaseT Interxion(Hanbury Street) 1G SX (multi-mode) Demarcation The demarcation at LD4 is the patch frame within the BATS Chi-X Europe suite. To simplify the installation of cross connects this demarcation has been extended to numerous locations within LD4. Participants are encouraged to use these demarcation extensions but are not obliged to do so. Circuits must be delivered to the datacentre telco meet me rooms, BAT Chi-X Europe will order the cross connect from the telco demarc to the BATS Chi-X Europe suite. No telco equipment is hosted in the BATS Chi-X Europe suite. BATS Trading Limited 2013 Page 5 of 11

6 Market Data There are three separate markets 1. BATS Europe (BXE) 2. Chi-X Europe (CXE) 3. Trade Reporting Facility (TRF) The TRF environment has two separate market data sources - Quotes and Trades. Market data is offered in two different formats: Multicast PITCH and TCP PITCH see the specifications for full details. Multicast PITCH Multicast PITCH has the following key features: LD4 Low-latency, up to 400us faster than TCP PITCH. Two bandwidth versions: Gig-shaped, requires gigabit cross connects. WAN-shaped, requires minimum of 100M. Gap Response Proxy to recover data gaps. Spin Server to efficiently recover from intra-day disconnects. Efficient binary messaging and modify order message. Market selectivity (CXE &BXE): LSE, Paris, Xetra, Amsterdam, Milan & Madrid and Nordics & Swiss each have their own multicast streams and hence could be subscribed to individually. BXE: The multicast PITCH feeds at LD4 use the prefix B Gig shaped BA & BB WAN shaped BC & BD CXE: The multicast PITCH feeds at LD4 use the prefix X Gig shaped XA & XB WAN shaped XC & XD TRF: The Multicast PITCH feeds at LD4 use the prefixes Q(quotes) and T(trades) WAN shaped QC & QD WAN shaped TC & TD LD3 BXE: The multicast PITCH feeds at LD3 use the prefix B WAN shaped BE CXE: The multicast PITCH feeds at LD3 use the prefix X WAN shaped XE TRF: The Multicast PITCH feeds at LD3 use the prefixes Q(quotes) and T(trades) WAN shaped QE WAN shaped TE BATS Trading Limited 2013 Page 6 of 11

7 Multicast PITCH development resources The following resources are available specifically targeted at easing the process of developing for Multicast PITCH. Certification Multicast PITCH is available via the internet VPN using a GRE tunnel. A test program to assist in debugging multicast infrastructure is available: Multicast PITCH historic data files are available via the Participant portal. TCP PITCH TCP PITCH has the following features: Full TCP PITCH includes all symbols in all markets. Unitised PITCH offers basic market selectivity and is best suited for Participants who only require a limited sub-set of market data to reduce the cost of wide area connectivity. Participants are encouraged to take market data via Multicast PITCH as the infrastructure load is constant irrespective of the number of data consumers. Market data location availability: Sourced from LD4 Sourced from LD3 Location Gig A Gig B Wan C Wan D TCP Unitised Unitised Wan E TCP TCP TCP LD4 LD3 Interxion Internet * TCP PITCH for BXE & CXE is also available in the USA directly via BATS USA. *TRF is not available via the internet BATS Trading Limited 2013 Page 7 of 11

8 Bandwidth Guidance Participants are strongly advised to provision enough spare bandwidth to cope with growth and exceptional market conditions. The current highest traffic peaks of observed traffic are stated below, this will rise as the markets develop. Sub-second microbursts will significantly exceed the one second peaks. A single 1G cross connect will be able to consume both of the Multicast PITCH Gig shaped feeds from BXE & CXE and all of the TRF feeds eg BA, XA, QC & TC A single 100M cross connect will be able to consume the Multicast PITCH WAN shaped feeds but not TRF quotes eg BC, XC & TC or BE, XE &TE Gig shaped multicast PITCH is only available to Participants with 1G or 10G connectivity. All Multicast PITCH feeds (Gig, WAN & Cert) have rate limits, the details of these settings are published in the Multicast PITCH spec section 7.6. Insufficient bandwidth will caused dropped packets and gaps in the multicast PITCH feeds. BATS Trading Limited 2013 Page 8 of 11

9 Multicast PITCH observed bandwidth peaks The peak 1mS, 10mS and 1 second bandwidths for the Gig shaped A feed of a single market seen to date are below, Participants consuming both XA & BA can expect to see twice these peaks. Interval Intra-day peaks (Mbps) Including end of day peak (Mbps) 1mS mS second TCP PITCH observed bandwidth peaks The peak 1, 5 and 10 second bandwidth peaks of the Full TCP PITCH feed per market seen to date are below. Participants consuming both the CXE & BXE feeds can expect to see twice these peaks. Interval Seconds Intra-day peak (Mbps) Including end of day peak (Mbps) Note: There will be sub-second microbursts that will exceed the one second peak rate. The extent to which the network connection to the Participant will cope with the microbursts exceeding the available bandwidth without packet loss will depend heavily on the buffers in the end to end path. Order entry estimated bandwidth The bandwidth for order entry via the FIX or BOE interface depends on the rate of message input: FIX or BOE message rate 75/sec 150/sec 450/sec Bandwidth 256kbps 512kbps 1.5Mbps BATS Trading Limited 2013 Page 9 of 11

10 IP Addressing The details below apply to all connectivity methods other than VPN: BATS Chi-X Europe hosts use registered addresses for both unicast and multicast data flows. BATS Chi-X Europe supports publicly registered Participant addresses. If required, BATS Chi-X Europe can allocate a 10.x.y.z address block. Each Participant is allocated a /24 subnet by default. This subnet can be split to provide transit P2P and host/nat subnets. BATS Chi-X Europe supports static routing and dynamic routing via BGP, for multicast, BXE supports static and dynamic IGMP and PIM Sparse. Each TCP separate feed is allocated a unique TCP port. The port is determined by the Trade Desk during the provisioning process. The GRP and SPIN ports used by multicast PITCH are not unique. Certification Connectivity to the certification environment is available at all locations and also via an internet VPN. A certification multicast PITCH feed also exists and is heavily bandwidth limited as per the Multicast PITCH specification, section 7.6. The certification multicast PITCH feed is available over the internet VPN via a GRE tunnel. Disaster Recovery In the event of a catastrophic failure at the primary datacentre (Equinix LD4, Slough) BATS Chi-X Europe may invoke disaster recovery at the secondary datacentre Equinix LD3, Park Royal. The BXE & CXE books run as separate islands of liquidity, the decision to invoke disaster recovery from LD4 to LD3 may be made for only one or both markets dependant on the nature of the failure. A full disaster recovery explanation is provided at: BATS Trading Limited 2013 Page 10 of 11

11 Order form The order form to request connectivity is published at: The associated terms and conditions are published at: Port and Latency tools BATS Chi-X Europe provides Participants some valuable tools to monitor and manage their connectivity. All tools are via the Participant portal and requires accounts to be requested from Ports Dashboard provides port statistics including TCP re-transmit count Real-Time Latency Portal provides a large amount of latency data on order and order to quote. For further information see Web Products Reference Data Please consult the BATS Chi-X Europe reference data specification for full details. Reference data is accessible via the internet or over customer trading connectivity, full details are in sections 1.2 & 1.3 of the specification. BATS Trading Limited 2013 Page 11 of 11