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Market Data Optimization Working Group

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					              FPL Global Fixed Income
                   Committee Meeting
                                       Tuesday, December 6, 2005



FAST Protocol :
Overview of FIX’s New Market Data Protocol
Presented by:
Rich Shriver, co-Chair FPL Market Data Optimization Working Group
              Senior Industry Consultant, Jordan & Jordan


         more information is available at: www.fixprotocol.org/fast
Agenda
    Brief review of the business drivers
    FIX Protocol Ltd response to an industry issue/opportunity
    The FAST Protocol
         Definition and orientation
         Structure (implicit tagging, encoding and serialization)
         Speed/Latency
    Development of the FAST Protocol
    FPL Proof of Concept and summary results
         Performance Summary
         Compression Ratios
         Bandwidth Utilization
         FIX vs. Proprietary Formats
    Status and evolution of the standard

December 6, 2005               FPL Global Fixed Income Committee Meeting   2
Putting the squeeze on market data



                                                  Market Drivers
                                                    Best executions
                                                 Direct market access
                                                     New Products
                                                   New Participants
                                             Innovative Trading Strategies




                                                   Market
                                                    Data
                                                                             Innovation in
                                                                             Technology
                                                                         Electronic Trading
                                                                         Algorithmic Models
                   Market Structure Changes                              Reliance on Market Data for
                   Regulatory (Reg NMS, MiFID)                           Decision Making
                   Dynamic pools of liquidity                            Ubiquitous Trading Technology




December 6, 2005                      FPL Global Fixed Income Committee Meeting                          3
Peak message rates outpacing effective solutions
                                                             Financial Information Forum Area Chart
                                             U.S. Equities Exchange Feeds - 1 Minute Peaks (Messages Per Second)                                                 OPRA Peak 1 Minute based on SIAC data
                                                        CTS   UTDF   CQS   NQDS   UQDF     ArcaBook     TotalView                                         (FIF Projections using Past Average % Change of 5.9%)
                          35,000                                                                                                            200,000
                                    Source: Nasdaq, SIAC, Arca
                                                                                                                                            175,000
                          30,000

                                                                                                                                            150,000
                          25,000
    Messages per Second




                                                                                                                                            125,000
                          20,000
                                                                                                                                            100,000

                          15,000
                                                                                                                                             75,000

                          10,000                                                                                                             50,000


                           5,000
                                                                                                                                             25,000

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                                                                CME Bandwidth Utilization Trend
                                                                                                                                                     Business demands are outstripping
                          8500000

                          8000000

                          7500000
                                           Moving Avg Avg
                                           Daily Average
                                           Rate
                                                                                                                                                      communications services and cost-
                                           Daily Peak
                                           Moving Avg Peak
                          7000000

                          6500000
                                                                                                                                                      effective bandwidth solutions
                                                                                                                                                          More products, more listings,
                          6000000

                          5500000                                                                                                                     
    Bandwidth (mbits)




                          5000000

                          4500000

                          4000000
                                                                                                                                                         More price levels, more depth/data
                          3500000

                          3000000                                                                                                                        Increased demands for low latency
                          2500000

                          2000000

                          1500000                                                                                                                    Proprietary solutions are increasingly
                          1000000

                          500000

                                0
                                                                                                                                                      costly to maintain
                              12/29/2004       2/17/2005        4/8/2005       5/28/2005          7/17/2005         9/5/2005   10/25/2005

                                                                                                                                                     The industry is ripe for a radical shift
December 6, 2005                                                                                              FPL Global Fixed Income Committee Meeting                                                           4
FIX Response to an Industry Problem/Opportunity

    December, 2004

     FPL Global Derivatives Committee and FPL Global Technical Committee

     jointly sponsored the formation of the Market Data Optimization Working
     Group (building on FPL’s Implicit Tagging proposal)

     Working Group Co-chaired by:
              Matt Simpson, Associate Director of Electronic Trading Systems
               Architecture CME, co-chair FPL Global Technical Committee
              Rich Shriver, Senior Industry Consultant Jordan & Jordan


     Broad based interest and participation from banks, broker dealers, vendors
     exchanges and investment firms (100+ active FPL working group members)

December 6, 2005                 FPL Global Fixed Income Committee Meeting      5
Market Data Optimization Working Group Charter
                                         Mandate
  To define standard services for the reliable transport of FIX
  market data messages using implicit tagging and support for
             multicast and point to point topologies
    Approach

             Consider additional optimization techniques that may further enhance
              market data delivery such as compression

             Garner participation and representation from all industry segments in
              order to develop a true standards-based solution

             Create a common, flexible, straightforward solution that will reduce
              integration costs

             Make allowance for non-market data related information to take
              advantage of the same optimizations

December 6, 2005                  FPL Global Fixed Income Committee Meeting           6
Working Group Accomplishments

    Established multi-asset class business requirements for market data

    Documented Book Management Best Practices

    Documented Multicast Transport Best Practices

    Recommended FIX Extensions for Market Data

    Created the FAST Protocol (SM) / FIX Adapted for STreaming (SM)
         FAST Field Encoding Specification (FAST CODEC)
         FAST Serialization Specification (FAST SERDES)

    FPL Proof of Concept (in Progress)
         Phase 1 Results – Published
         Reference implementation (C, Java, .NET)




December 6, 2005                  FPL Global Fixed Income Committee Meeting   7
High Performance Market Data Technology Attributes
    Highly Scalable
         Peaks and spikes are handled without disruption to the market
         Performance does not degrade as load increases
    Low Latency
         Time from sender to receiver is reduced!
         Latency decreases as compression increases!
    Low Bandwidth Utilization
         Allows existing bandwidth to be leveraged
    Low Cost
         Open, standard, repeatable




December 6, 2005             FPL Global Fixed Income Committee Meeting    8
The FAST Protocol
    FAST stands for FIX Adapted for Streaming (SM) or
     The FAST Protocol (SM)

                       FIX Market Data Message




                                      Implicit Tagging

                      FAST             Field Encoding                = highly optimized feed
                                         Serialization




                    FAST Session and Transport Layer



December 6, 2005         FPL Global Fixed Income Committee Meeting                         9
FAST Protocol Structure
Implicit Tagging
   An abstract concept useful in visualizing the structure of the encoded data – is not physically
    implemented
   Fixed length data becomes variable length – leading zeros and trailing spaces are dropped
   Delimiters are used to separate fields and Tag Numbers are dropped
   Templates are used in identifying and sequencing fields in a message

Field Encoding
    Eliminates data redundancy by leveraging data affinities between recurring fields in messages
     and repeating groups
    Fields may be defaulted, copied, incremented or delta valued from a prior occurrence
    Field encoding operators are specified in the template and applied in encoding

Serialization
   Binary data - implements the transformation of the data to a binary representation
   Stop bit - efficiency gains are realized through bit-level field delimitation known as the “stop bit”
   Presence map – a bit map which indicates the presence or absence of fields in the message.
    Fields which are null due to having been “copied away” can be represented by a bit in the
    presence map indicating that the field is absent.



December 6, 2005                     FPL Global Fixed Income Committee Meeting                              10
FAST Protocol Latency and Processing Overhead
How FAST is FAST? – Very

                            Low Processing Latency +
                           Reduced Transfer Latency
                           ______________________
                          Accelerated Message Delivery

    Extremely efficient at the CPU-level
           FAST’s binary-like format allows extremely efficient processing
    Compression decreases the amount of data that has to be
     transferred and therefore accelerates data delivery
    The result is that transfer latency is decreased
    Fast enough to keep up with huge amounts of data 50 Mbit/s
December 6, 2005               FPL Global Fixed Income Committee Meeting      11
FAST is Transport Flexible
Transport Compatible
    FAST leverages the properties of the transport to optimize performance
    FAST works with either Broadcast (UDP) or Point-to-point (TCP)
     transport model
    For Multicast, a single packet defines the scope of a FAST “transaction” -
     FAST never spans multiple packets
    Alternatively, data can be pulled in and decoded byte-for-byte or in
     packet-like chunks
Transaction Scope
    Transport impacts the Transaction Scope
    For Multicast transport, the packet size will determine the scope of the
     FAST transaction
    For TCP transport, the entirety of the feed can be treated as the transaction
     scope



December 6, 2005            FPL Global Fixed Income Committee Meeting            12
Development of the FAST Protocol



         Inception              Elaboration                  Construction             Transition



                                Finalize
        Develop                                                                       Version control of
                                Specifications                 Build FAST
        Specifications                                                                code
                                  CODEC & SERDES               components & test
        Review alt.                                                                   Reciprocal testing
                                Map native feeds to            harness
        approaches                                                                    Independent
                                FIX                            Build measurement &
         ASN.1, Huffman, LZ                                                           verification
                                Design POC                     reporting
        Conduct preliminary                                                           Metrics generated &
                                framework                      components
        testing & analysis to                                                         cross-checked
                                Convergence of initial         Build test framework
        optimize encoding                                                             Results published
                                approaches




December 6, 2005                   FPL Global Fixed Income Committee Meeting                                13
FPL engages a professional team




December 6, 2005   FPL Global Fixed Income Committee Meeting   14
FAST Proof of Concept - Testing Framework
                                                                                                   FAST Protocol Architecture
 “FAST Run Time Controller” is                                                                             Source
     responsible for establishing the                                                                       Data

     metrics and monitoring profile that is
     applied to the data                                       FAST Encode Framework                                            Version 5




 “Application Codec” functions as the                                                                                            Arca
                                                                                                     FAST RunTime
    main processor, looping through the                                Establishes runtime
                                                                       parameters for test;
                                                                                                       Controller
                                                                                                                                Harness


    data file                                                          metrics calibration,
                                                                       application codec
                                                                                                                                 CME
                                                                                                                                Harness

                                                                                                                                 OPRA

 “Feed Harness” parses a given message                                  Executes process loop,
                                                                                                      Application
                                                                                                        Codec
                                                                                                                                Harness


    type and constructs a meta-message                                  specifies harness, calls
                                                                        field encoder
                                                                                                                                NOREX
                                                                                                                                Harness

    according to the sequence of fields as                                                                                        FIX
    specified in the template                                                                                                   Harness

                                                                   Applies field encoding            Field Encoder
                                                                   operations, calls Serializer
                                                                   using API based on function

 “Field Encoder” receives the meta-                                pointers



     message from the Application Codec
     and applies the field encoding                                 Serializes stream to binary
                                                                                                       Serializer

     operations that have been specified in                         using continuation bit and
                                                                    presence map

     the template

 “Serializer” receives the field encoded
     meta-message and converts it to a                                                                    Encoded
     serialized format                                                                                     Data



December 6, 2005                    FPL Global Fixed Income Committee Meeting                                                               15
FAST Proof of Concept - Real-time Feed Simulation
    Simulation Testing
         Simulation testing was performed in order to reconstruct a real-time
          environment
         Original peaks and valleys were recreated
         Original timestamps (to milliseconds) were assigned to all messages in
          order to replay the feed
         Fast Markets were assumed when message rates reached multiple
          messages per millisecond


    Framing and Holdback
         High volume data feeds were assumed to fill frames – data is arriving
          quickly enough to fill a multicast frame
         Lower volume feeds were tested with a holdback – frames are not full so
          data is collected over a time interval – 5ms, 1ms
         Strike a balance between holdback and transfer latency
December 6, 2005              FPL Global Fixed Income Committee Meeting            16
FAST Proof of Concept - FIX Input
FIX Market Data Incremental Refresh Message
     CME Book Update Message
     4 Price Levels Specified
     Each Price Level contains repeating information
    8=FIX.4.4|9=348|34=36|35=X|49=CME|268=4|
    279=1|269=0|107=GE:BF Z5-H6-M6|270=2.5|271=533|272=20050725|273=072000|276=K|
    279=1|269=1|107=GE:BF Z5-H6-M6|270=3.5|271=211|272=20050725|273=072000|276=K|
    279=1|269=0|107=GE:BF Z5-H6-M6|270=2|271=33131|272=20050725|273=072000|276=K|
    279=1|269=1|107=GE:BF Z5-H6-M6|270=4|271=15345|272=20050725|273=072000|276=K|
    10=080|




      ARCA “Add Order” Message

    8=FIX.4.4|9=116|34=23|35=X|49=ARCA|52=04:00:00.878|268=1|
    55=AOLA|299=ARCAX|37=7|269=1|279=0|270=0.3|271=16000|275=P|
    10=234|




December 6, 2005                 FPL Global Fixed Income Committee Meeting          17
FAST Proof of Concept - Sponsors




December 6, 2005   FPL Global Fixed Income Committee Meeting   18
FAST Proof of Concept - Test Phases
    Phase1A addressed Native Feeds
         ARCA, OPRA, CME and NorEx as test subjects
         Top-of book + Trades (OPRA)
         Full Depth Order Book (Archipelago Exchange)
         Aggregate Depth Book + Trades (CME)
         Full Depth Order Book + Trades (LSE/NorEx)

    Phase1B addressed FIX-adapted Feeds
         ARCA, OPRA, CME and LSE as test subjects
         FIX Market Data Snapshot Full Refresh (35=W)
         FIX Market Data Incremental Refresh (35=X)

    Phase2 will continue testing exchange feeds
         SWX, SGX, CBOE
         ZLIB Comparisons

December 6, 2005             FPL Global Fixed Income Committee Meeting   19
FAST Protocol Proof of Concept
     Phase1A Summarized Native Results
                              Native        FAST Message          FAST Protocol –       FAST Protocol –
             Exchange Feed   Message            Size           Peak Compression Rate       Messages
                               Size                                                    Processed / second

         ARCA ArcaBook        38.04             9.05                  80.1%                714,000

         OPRA                  67.0             16.81                 81.1%                555,000

         CME Globex           195.93            38.56                 82.0%                294,000

         NOREX                113.0             17.26                 89.8%                588,000

     Phase1B Summarized FIX Results (preliminary)
         Exchange Feed         FIX            FIX FAST            FAST Protocol –       FAST Protocol –
                             Message          Message            Peak Compression          Messages
                              Size               Size                  Rate            Processed / second

         ARCA ArcaBook        121.9             10.5                   91%                 666,000
         OPRA                 177.0             20.8                   81%                 434,000

         CME Globex           241.4             29.0                   88%                 333,000
         LSE SETS/mm          157.7             54.4                   81%                 149,000




December 6, 2005                      FPL Global Fixed Income Committee Meeting                             20
POC Phase 1B Performance Summary
Test Category                                            Arca Ex              CME             LSE            OPRA
Trade Date                                            May 11th, 2005     July 25, 2005   June 15, 20005   July 19, 2005
Maximum Compaction Factor (Percent/Ratio)              94.1% / 5.03      88.90% / 9.00   81.47% / 5.40    81.1% / 5.29
Average Compaction Factor (Percent/Ratio)             91.37% / 4.20      88.00% / 8.33   65.48% / 2.90    75.90% / 3.98
Minimum Compaction Factor (Percent/Ratio)              89.4% / 3.24      86.78% / 7.32   52.94% / 2.12    72.9% / 3.69
Frame Size (bytes)                                         1400            1400 / 5ms        1400             1000
Total number of messages                                77,257,770         7,357,984        796,110        67,553,409

Average FIX message size (bytes)                          121.93             241.41           157.7          67.00
    before compression
Average FIX message size (bytes)                           10.52              29.03           54.43          16.81
     after compression
Total number of bytes before compression              9,419,817,905      1,441,663,338    125,535,540     4,526,329,049
Total number of bytes after compression                812,906,076        283,723,183      43,332,311     1,135,908,467
Total number of frames per test (frames)                 577,931            3642715         571,811        1,125,363
Average number of messages per frame                      133.68               3.0            1.41           60.03
Total CPU Utilization (CPU seconds)                         424               23.2            6.7             120
Average CPU Utilization per message                         1.5                3.0            8.38             1.8
    (microseconds)
December 6, 2005                           FPL Global Fixed Income Committee Meeting                                 21
FAST Compression Ratio
                                                                                                                                                                                                        Arca Feed - FIX FAST Compression Ratio
                 Compression ratios achieved with little                                                                                                      94

                  processing overhead                                                                                                                          93

                                                                                                                                                               92




                                                                                                                                                Percent (%)
                                                                                                                                                               91

                                                                                                                                                               90

                                                                                                                                                               89

                                                                                                                                                               88




                                                                                                                                                                                                    0

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                                                                                                                                                              8:

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                                                                                                                                                                                                                11

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                                                                                                                                                                                                                                                                 14

                                                                                                                                                                                                                                                                          14

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                                                                                                                                                                                                                                                                                                              16
                                                                                                                                                                                                                                FAST Compression




                                                CME Feed - FIX FAST Compression Ratio                                                                                                                     LSE Feed - Native FAST Compression Ratio
                                                   1400 byte frames, 5 ms holdback                                                                                                                             1400 byte frames, 5 ms holdback
                  92
                                                                                                                                                                               85
                  91
                                                                                                                                                                               83

                                                                                                                                                                               81
                  90
                                                                                                                                                                               79
                  89                                                                                                                                                           77

                                                                                                                                                                               75
    Percent (%)




                  88

                                                                                                                                                                 Percent (%)
                                                                                                                                                                               73

                  87                                                                                                                                                           71

                                                                                                                                                                               69
                  86
                                                                                                                                                                               67

                  85                                                                                                                                                           65

                                                                                                                                                                               63
                  84                                                                                                                                                           61

                                                                                                                                                                               59
                  83
                                                                                                                                                                               57

                  82                                                                                                                                                           55
                    7:20   7:50   8:20   8:50    9:20   9:50   10:20   10:50   11:20   11:50   12:20   12:50    13:20   13:50   14:20   14:50                                    7:45    8:15    8:45    9:15    9:45   10:15   10:45    11:15   11:45   12:15   12:45    13:15    13:45    14:15   14:45   15:15   15:45

                                                                FAST Compression Rate                                                                                                                                                   FAST Compression Rate




December 6, 2005                                                                                               FPL Global Fixed Income Committee Meeting                                                                                                                                                                    22
FAST Bandwidth Utilization
                                                                                                                                                                                   ARCA Feed - FIX vs FAST Bandwidth Utilization


                  Dramatic increase in bandwidth                                                                                           9000

                                                                                                                                            8000
                   utilization efficiency                                                                                                   7000

                                                                                                                                            6000




                                                                                                                             Kbits/second
                                                                                                                                            5000


                   Note – LSE is not as dramatic based on                                                                                   4000

                                                                                                                                            3000
                   different framing assumptions                                                                                            2000

                                                                                                                                            1000

                                                                                                                                               0
                                                                                                                                               08:30 09:00 09:30 10:00 10:30 11:00 11:30 12:00 12:30 13:00 13:30 14:00 14:30 15:00 15:30 16:00 16:30

                                                                                                                                                                                                 ARCA FIX          FIX FAST          T1       T1x2



                                       CME Feed - FIX vs FAST Bandwidth Utilization                                                                                                  LSE Feed - Native vs FAST Bandwidth Utilization
                                            1400 byte frames, 5 ms holdback                                                                                                                 1400 byte frames, 1 ms holdback

                   2000

                   1800                                                                                                                                           200

                   1600                                                                                                                                           175

                   1400                                                                                                                                           150
    Kbits/second




                   1200

                                                                                                                                                   Kbits/second
                                                                                                                                                                  125
                   1000
                                                                                                                                                                  100
                    800
                                                                                                                                                                   75
                    600
                                                                                                                                                                   50
                    400

                    200                                                                                                                                            25

                      0                                                                                                                                             0
                       7:20   7:50   8:20   8:50   9:20   9:50 10:20 10:50 11:20 11:50 12:20 12:50 13:20 13:50 14:20 14:50                                           7:45   8:15   8:45   9:15   9:45 10:15 10:45 11:15 11:45 12:15 12:45 13:15 13:45 14:15 14:45 15:15 15:45

                                                               CME FIX      FIX FAST      T1                                                                                                                       LSE Native       FAST



December 6, 2005                                                                                  FPL Global Fixed Income Committee Meeting                                                                                                                                     23
FAST FIX vs. Native Performance
                                                                                                                                                               ARCA Feed - FIX FAST vs Native FAST Bandwidth Utilization

                  Highly comparable performance using
                   FIX or a proprietary format                                                                                              1000


                                                                                                                                             750




                                                                                                                            Kbits/second
                                                                                                                                             500


                                                                                                                                             250


                                                                                                                                                    0
                                                                                                                                                    08:30 09:00 09:30 10:00 10:30 11:00 11:30 12:00 12:30 13:00 13:30 14:00 14:30 15:00 15:30 16:00

                                                                                                                                                                                    FIX FAST           Native FAST




                             CME Feed - FIX FAST vs Native FAST Bandwidth Utilization                                                                               OPRA Feed - FIX vs FAST Bandwidth Utilization
                                                                                                                                           2000


                   400

                                                                                                                                           1500


                                                                                                                            Kbits/second
                   300
    Kbits/second




                                                                                                                                           1000

                   200


                                                                                                                                            500

                   100


                                                                                                                                                0
                     0
                                                                                                                                               0


                                                                                                                                                           0


                                                                                                                                                                   0


                                                                                                                                                                           0


                                                                                                                                                                                   0


                                                                                                                                                                                           0


                                                                                                                                                                                                   0


                                                                                                                                                                                                            0


                                                                                                                                                                                                                    0


                                                                                                                                                                                                                            0


                                                                                                                                                                                                                                    0


                                                                                                                                                                                                                                            0


                                                                                                                                                                                                                                                    0


                                                                                                                                                                                                                                                            0
                                                                                                                                            :3


                                                                                                                                                        :0


                                                                                                                                                                :3


                                                                                                                                                                        :0


                                                                                                                                                                                :3


                                                                                                                                                                                        :0


                                                                                                                                                                                                :3


                                                                                                                                                                                                         :0


                                                                                                                                                                                                                 :3


                                                                                                                                                                                                                         :0


                                                                                                                                                                                                                                 :3


                                                                                                                                                                                                                                         :0


                                                                                                                                                                                                                                                 :3


                                                                                                                                                                                                                                                         :0
                                                                                                                                           09


                                                                                                                                                      10


                                                                                                                                                               10


                                                                                                                                                                       11


                                                                                                                                                                               11


                                                                                                                                                                                       12


                                                                                                                                                                                               12


                                                                                                                                                                                                        13


                                                                                                                                                                                                                13


                                                                                                                                                                                                                        14


                                                                                                                                                                                                                                14


                                                                                                                                                                                                                                        15


                                                                                                                                                                                                                                                15


                                                                                                                                                                                                                                                        16
                      7:20   7:50   8:20   8:50   9:20   9:50 10:20 10:50 11:20 11:50 12:20 12:50 13:20 13:50 14:20 14:50

                                                    FIX FAST         Native FAST                                                                                                FIX FAST            Native FAST         T1



December 6, 2005                                                                                  FPL Global Fixed Income Committee Meeting                                                                                                                     24
FAST Protocol
    FASTSM is available today
         FAST Field Encoding Specification (FAST CODEC)
         FAST Serialization Specification (FAST SERDES)


    FASTSM is being implemented by leading market centers
         Archipelago
         Chicago Mercantile Exchange
         International Securities Exchange
         OM Exchanges


    FASTSM is evolving to meet greater needs in the industry
         FAST Session Layer
         FAST Template Management


December 6, 2005             FPL Global Fixed Income Committee Meeting   25
FAST Protocol Summary

    Do you feel the need for speed?

    The FAST Protocol helps you
         move more data
         requiring less bandwidth (for peak message rates)
         and less processing overhead
         getting data to consumers faster
         using a standard protocol

          With many exchanges adopting the standard,
          we are poised for a market data renaissance


              to find out more… www.fixprotocol.org/fast

December 6, 2005               FPL Global Fixed Income Committee Meeting   26

				
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