ITG Revamps Market Data Infrastructure

Agency brokerage and trading technology provider ITG is rolling out a new data distribution layer, as part of a three-year project to upgrade its enterprise-wide market data infrastructure to meet the anticipated capacity, latency and content needs of its traders and external clients.

The broker’s market data infrastructure comprises two components—its Unified Real-Time (URT) data distribution and its Content Management System (CMS) for historical data. ITG completed the URT enhancements at the end of 2010 and is currently deploying them firm-wide, and expects to complete the CMS upgrade next year, says David Meitz, managing director and chief technology officer at ITG.

The company first upgraded URT in Canada, where ITG has an arbitrage trading business that depends on low-latency data, and plans to roll URT out globally during 2011, in conjunction with new product offerings, including a new version of the firm’s flagship Triton EMS.

The URT upgrade included deploying the Market Liquidity Analysis engine from complex event processing vendor Aleri—acquired by Sybase last year (IMD, Feb. 8, 2010)—to manage fragmentation among liquidity pools by consolidating datafeeds from multiple exchanges (IMD, Oct. 2, 2009). During 2010, ITG also increased bandwidth firm-wide to 10 Gigabits per second, installed improved accelerator cards in its servers, and wrote proprietary code to enable dynamic load balancing across multiple servers.

As a key part of the overall project, ITG developed a proprietary middleware layer, which delivers significant performance enhancements and will ultimately be the underlying layer on which URT and the CMS are deployed. Meitz declines to provide specific latency numbers, but says the new middleware has reduced ITG’s order flow latency by more than two-thirds.

ITG began rolling out the middleware at the end of Q1 2010 in the US and Canada, and will complete the rollout globally by the end of 2012.

The CMS upgrade will support the analysis needs of ITG’s own traders, and will also ultimately support its suite of analytical products that clients access via its front-end products, including its ITG Logic transaction cost analysis tool, which is currently running a proof-of-concept of the new CMS.

“We don’t redistribute market data, but clients can do a deep dive on the analytics related to any historical market data distributed to any of the order flow that comes through ITG, such as best bid on a given day and time- or average-weighted price on a given date,” Meitz says. “This new CMS underpins all that.”

ITG is also leveraging data caching products from application server vendor GigaSpaces, though most of the upgrade involved proprietary solutions. “Our products are unique in the way we combine them, so to move as quickly as we need to move in the market, having that technical expertise and that understanding of the proprietary way we use the data is a competitive advantage,” Meitz says.

While ITG’s legacy infrastructure is sufficient to manage existing latency and capacity requirements, Meitz says the changes will ensure that the firm can keep ahead of the curve by creating a foundation that supports all its existing business without the firm having to worry about headroom, while also enabling it to perform at higher levels.