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
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Leveraging the Platform– Zielbild 2015 How cost pressure ...€¦ · Asset Control User Conference, 5th. November 2013 Page 4 Solution Initial Setup Target Architecture Reuters
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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
Page 2 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
Page 3 Asset Control User Conference, 5th. November 2013
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)
Page 4 Asset Control User Conference, 5th. November 2013
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
Page 5 Asset Control User Conference, 5th. November 2013
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)
Page 6 Asset Control User Conference, 5th. November 2013
Architecture
Page 7 Asset Control User Conference, 5th. November 2013
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
Page 8 Asset Control User Conference, 5th. November 2013
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
Page 9 Asset Control User Conference, 5th. November 2013