Leveraging the Platform– Zielbild 2015 How cost pressure ...€¦ · Asset Control User...

Zielbild 2015 Ideen für die IT-Strategie

Asset Control User Conference

London, 5th November 2013

Christian Bock, Head of Group Market Data, pbb Peter Schnaus, IT Application Management MDS, pbb Susanne Ruff, Director Market Data, Nagler & Company

Leveraging the Platform– How cost pressure can enable innovative solutions

Asset Control User Conference, 5th. November 2013

Business Case

Build an Asset Control interface

adaptor to BB managed BPipe

Migrate Reuters Selectfeed and BB BPipe-on-Demand

Decommission Reuters

Infrastructure RMDS

Higher stability

Single technology

Simplify monitoring

Decrease complexity

Increase maintainability

Reduce marketdata

costs

Cluster Risk Increase dependency of one single vendor


Business Requirements

Line Handler

Create subscription request for Managed

BPIPE

Receive realtime tick data

Receive realtime snapshot data

Receive delayed tick data

Receive intraday summary messages

Receive reference data

Create re-subscription request for Managed

BPIPE

Configure subscription request

Request ACK/NACK report

Report users

Request access via standard process

¹

User

EMRS mBPIPE

Import data

Group Market Data

Market Data System (AC)

Application Management

> 2.5 Mio updates per day

Single contributor ID or all available

contributors

~90,000 subscriptions

Premium fields are only available via BB

DL, slow ticking prices are delivered

as reference data * MDS=Market Data System (ACplus)


Solution

Initial Setup Target Architecture

Reuters Selectfeed

Bloomberg B-Pipe on demand

Front Office-System Summit

Market Data System ACplus

Back Office Treasury

Golden Copy

Risk

Tick Data

Valuation

Bloomberg Managed B-Pipe

Front Office-System Summit

Market Data System ACplus

Back Office Treasury Risk

Tick Data

Valuation

Golden Copy

Tick Data


Interface

Connect Build a connection using the Bloomberg Java API

Subscribe Get list with needed BB identifiers from AC and subscribes to real-time data twice daily

Filter Check recent messages for relevant updates and consolidate to price ticks

Queue Map data to AC fields and store in queue

Update Generate amdpr-files and import into AC

Store Save all data for 24 hours within the LH to ensure that no ticks are lost in the event of connection problems

Failover Run two co-located interface instances simultaneously for a seamless failover to enhance resilience (active / active)


Architecture


Technology

Tick consolidation: Up to 20% of mBpipe messages are not relevant for the LH and needed to be filtered in order to increase performance

Reference Data: Not all reference data fields are available via mBPipe, premium fields need to be subscribed from BB Datalicense

Time Stamps: mBPipe does not send an explicit time stamp for some prices, therefore the LH needed to generate artificial time stamps

High Troughput: Due to the set-up of several simultaneous connections to the Bloomberg Appliance optimization measures of Normalization and Validation processes were needed

Technical Challenges


Open Issues

Lessons Learned

Elaborate prestudy for early-adaptor project without any benchmark data on performance or

data feed is mandatory

Workaround needed for authentifications via BB Entitlement

Management System as user management

of AC is not compatible to EMRS

The BB field classification of tick data, price data, reference data and premium fields is not well

documented and feeding all relevant fields took a lot of trial and error

AC performance has not been optimized

for real-time tickdata,- the data-import was a

bottleneck


Best Practice

Challenge the Status Quo

Enable the Business Purpose

Aligne a Strategy between Business & IT

Best Practice

Leveraging the Platform– Zielbild 2015 How cost pressure ...€¦ · Asset Control User...

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