Research Papers

The safety and stability of algorithmic trading software is an ongoing concern for exchanges, market participants and the society in general. Financial regulators
worldwide are trying to create effective rules to prevent selfenforced market volatility and technology crashes caused by computer-aided trading. Specifying relevant requirements for dynamic software verification of algorithmic trading platforms remains is an on-going task. Yet, there has been little progress to date in locating efficient and commonly accepted approaches. This paper introduces a reference test harness implementation for algo trading platforms created by the authors.

Victoria Leonchik, QA Lead, Technology, Reference Data, Exactpro, LSEG
Alexey Sukhov, QA Lead, Technology, Exactpro, LSEG
Eugene Ushakov, QA Lead, Technology, Market Data, Exactpro, LSEG
Iosif Itkin, CEO, Exactpro, LSEG
Anna-Maria Lukina, QA Team Lead, Exactpro, LSEG

This paper is an experience report on replaying full trading day production log files for dynamic verification of securities exchange matching engines. Three types of test automation tools developed in-house are described along with their characteristics. The paper analyzes various approaches to reproduce processes and scenarios observed in the systems during their production usage. The applicability and limitations of these approaches are also considered. The authors point out that for most complex distributed real-time trading systems it is extremely difficult to obtain an identical behavior using production logs replay via external gateways. It might be possible to achieve this by implementing additional instrumentation inside the exchange system’s core. The authors assume however that such an intrusion has limited value and should not be prioritized
over other, more appropriate, test design methods for testing such systems.

Pavel Protsenko, Account Management, Exactpro
Anna Khristenok, Head of NFT, Exactpro
Anna-Maria Lukina, QA Team Lead, Exactpro
Andrey Alexeenko, QA Team Lead, Exactpro
Tatiana Pavlyuk, NFT QA Team Lead, Exactpro
Iosif Itkin, CEO, Exactpro

The paper examines basic requirements for tools developed for verification of correct work of electronic trading systems by applying High Volume Automated Testing (HiVAT) methods and analyzes the applicability of such tools during production operation of trading systems.

Ticker Plant systems are widely used in modern day trading. They allow collecting in real-time quotes from several markets, present the data in a unified format, and disseminate it electronically depending on requests and goals of external clients, traders. This paper presents a view on the possibility of using market simulators for testing such systems. A set of main functional and non-functional test scenarios required to control the quality of quote dissemination has been identified. A comparison of market simulators and real test markets has been presented.

The software development life cycle for exchanges and brokers, in addition to verification of functional and technical system characteristics, includes a mandatory Integration Testing stage with the Client Certificationpart. The goal of this stage is to ensure the compatibility of automated trading systems connected to an exchange or broker via financial industry protocols (such as FIX/FAST, ITCH or specialized binary access interfaces). This paper presents a unique tool developed for verifying the compatibility of trading systems. One distinctive feature of the tool is a unified means of supporting multiple protocols. The case study provides examples of the tool usage by trading participants for self-certification and during large migrations of trading platforms.

The growing volume of orders generated by HFT (high-frequency trading) systems has posed a challenge of conducting exchange and brokerage systems testing in production-like environments. Specialized testing tools are used to ensure quality of high load trading systems with high availability. The main requirement for such tools is that they should be capable of creating realistic, high loads using limited hardware infrastructure. This article describes a load injection tool developed for testing automated trading systems and an approach that ensures high performance.