Saturday, December 08, 2012

Technology Behind the Scenes - IP Multicast and the Stock Market

One finds network documentation in the most unusual places...

While doing a bit of research into stock market operations, I stumbled across the Consolidated Tape Association.  Basically, the CTA is the group that disseminates real-time trade and quote information for securities listed on the NYSE, NYSE Arca, NYSE MKT, and other exchanges.  Now, I had never really considered the design implications of a free-for-all environment such as securities trading; we've all seen the movies with screaming traders, paper-littered floors and the like, but how do they get their data?

As it turns out, they use IP multicast.  This makes sense, since we're talking about data streams from a single authoritative source with no need for responses from recipients.  (Think about it - stock quotes are a one-way stream, right?)  Well, the Securities Industry Automation Corporation (now NYSE Technologies) has published a complete specification for the National Market Systems Common IP Multicast Distribution Network, and it's an interesting read for any IT/networking person.  It's interesting to see that flood of market data broken down into individual multicast streams, specified provider multicast IPs and specific UDP port numbers.  There's also a prepositioned/predefined disaster recovery addressing scheme, which may be of interest to those of you planning/gaming your own corporate DR scenario.  Those of you familiar with market operations might find it interesting to see "circuit breakers", open/close prices, and bid/offer semantics implemented as network messages, which you'll find in the CQS and CTS specifications on the page linked below.

All in all, I found this an interesting exercise in "double vision" - seeing financial & market imperatives (and raw data) defined in terms of data protocols really gave me a different perspective on the daily operations of the markets.  For the networking professional, this provides an interesting look into one of the most far-reaching IP multicast implementations you're likely to find.  If you're a networking geek, it's worth a look.

NYXdata > CTA


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