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Differences between Financial and Telecom Network Environment Kamatchi Gopalakrishnan Distinguished Engineer Agenda Network Time-sync Telecom versus Financial Network Time-sync Profile comparison Summary 1 Time-sync basics and requirements Synchronization overview Frequency Synchronization Time Synchronization Phase Synchronization TA=1/fA A A 01:00:00 01:00:10 01:00:00 01:00:10 TA=1/fA A t TB=1/fB B t fA=fB B TB=1/fB B fA=fB fA=fB Aligning clocks with respect to frequency Aligning clocks with respect to phase Aligning clocks with respect to time. FDD application TDD application FSI application Synchronization methods and options GNSS (GPS, GLONAS, Galileo, BeiDou) - Jamming, Spoofing, RF factors - Expensive - Line of site issue NTP - Good for milliseconds - Not good for high precision SONET/SDH, Sync-E - Not for phase or time sync - Every node must support PTP - High precision – Phase, Frequency and Time Telecom versus FSI network timing requirements Telecom network Frequency and/or phase sync UTC traceability not a must. Arbitrary time source is acceptable Ranges from 100nsec to order of microseconds – depends on MBH applications Operational requirements FSI network Time of day (ToD) sync UTC traceability is must (ESMA) or NIST traceability in US (SEC) Must be less than 100usec from UTC (ESMA) Regulatory requirements 2 Timing in Telecom versus Financial network Telecom versus FSI network model comparison Telecom network model Multiple administrative domain FSI network model (Mostly) Single or few cases multiple administrative domain Network services and transports not in Controlled network services and control of single admin transports No direct leverage to upgrade network Leverage to upgrade/modify network segments segment Downtime causes financial impact Downtime causes both financial and regulatory impact Timing is operational requirement Timing is a regulatory requirement Telecom – Multi Operator network Operator-3 Operator-2 Operator-1 GNSS Access Network Backhaul Network End to End 1.5 microsecond Core GM Mobile Core Network Mobile Phone roaming between cell-sites BS1 BS2 BS2 drifts outside 50ppb window +/-50 ppb BS2 Mobile cannot lock to BS2, call dropped +/-50 ppb BS1 Phase (TDD) and Frequency (FDD) sync Frequency Division Duplex Time Division Duplex Cell tower Send to handset at frequency F1 Cell tower Time: 12:00.01 Send to handset at frequency F1 Handset Time: 12:00.05 Send to tower at frequency F1 Handset Send to tower at frequency F2 F1 Tower F2 Handset F1 Tower Hand Tower Hand Tower Time Time Requires: accurate frequency Requires: accurate frequency & phase Mobile application phase sync requirements (Frequency : 16 ppb/ 50 ppb) Application CDMA2000 Phase +/-3 us to +/- 10 us LTE-TDD LTE MBMS (LTE-FDD and LTE-TDD) +/- 1.5 us (< 3KM cell radius) +/- 5 us (> 3KM cell radius) +/- 10 us LTE-A CoMP LTE-A eICIC +/- 0.5 us to +/- 1.5 us +/- 1.5 us to 5 us E911 and Locating services Small cells +/- 0.1 us +/- 3 us (1 to 5 us) with 100 to 250 ppb Financial Network – Single Operator Domain • 10 / 100 thousand servers. • Boundary Clocks to serve group of servers • EXCHANGE CUSTOMERS EXCHANGE MARKET DATA FEED HFT SERVERS Compute Cluster Interconnect BACK END COMPUTE CLUSTER MONITORING APPLICATIONS Synchronization flow model Gateway routers Leaf Switches Spine Switches Time Legality • How do you prove that something happened before (or after) a certain time? • How do you correlate events across a large/global network? Time-sync requirements in FSI (MiFID-2/ESMA) • RTS 25 of Regulatory and Implementing standards – annex 1 • Adopted regulatory requirements Reference Time – UTC traceable Compliance with maximum divergence requirements Level of accuracy for operator of trading venue Gateway-to-Gateway latency Maximum divergence from UTC Time stamp Granularity > 1 millisecond =< 1 millisecond 1 millisecond 100 microseconds 1 millisecond or better 1 microsecond or better Telecom 3 Financial/Ente rprise Profile comparison What are profiles? • Timing profiles are subset of requirements derived from IEEE1588 specification. • Targeted for particular application to achieve required synchronization goals in most reliable and interoperable way. • Different Timing profiles: Telecom profile – Mobile Backhaul applications Enterprise profile – Enterprise/DC and financial application 802.1AS/AVB profile – Audio/Video in bridged network SMPTE-2059-2 profile – IP based video broadcasting network Telecom versus Enterprise profile Telecom Profile Enterprise Profile • • • • • • • • • • PTP over Ethernet Multicast Sync-E + PTP combined mode Phase accuracy in microseconds Fixed PTP packet rates Alternate Best Master Clock Algorithm (ABMCA) • No Unicast Negotiation PTP over IPv4 or IPv6 Multicast Plain PTP mode Time of day (less than 100us UTC) Configurable packet rates 1588 default Best Master Clock Algorithm • Unicast negotiation allowed 4 Summary Summary - Precision Timing Challenges • • • • • Packet Delay Variation Scaling - Number of PTP clients support Number of hops between GM and End Slave nodes Precision Performance Monitoring Overlay versus Inline synchronization flow Thank you Backup slides Case1 - Accuracy in Hi-FREQ algorithmic trading Trade Execution Servers Market Data Creation Servers Market Feed Generator Servers Trade Execution Market Data Creation T2 T3 Timestamp Timestamp T1 Market Feed Timestamp 2 3 4 5 6 7 1 With NTP precision, often T3 < T2 < T1 – ie, market data is sent before it is created and even The market data feed reaches creation the The trade market execution feed generator data before trade has been When athe trade executes, a is sent The market data is sent to the servers customers’ generate algorithmic a timestamp servers to servers the market timestamp data the creation settled! Algorithms arefeed confused timestamp is generated by the feed generator servers when with the new three market timestamps data is servers which they send out leading to lost business trade execution server and created embedded angry customers for the exchange With PTP, exchanges can achieve better precision (1 us or less) that will let them fix this problem T3 Market Feed Timestamp Algorithmic Trading Servers T2 Market Data T1 Trade Data Algorithmic Trading Algorithmic Servers Trading Servers Case-2: End To End Latency Analysis • In HFT, latency is king • Different latency components • PTP based timing to correlate measurements across nodes Market data feed BGP/OSPF IP Multicast HFT servers HFT servers Case 3: logging for regulatory reasons Customer Trade Requests Buy request arrives from Customer X for IBM options at Buy request arrives from Customer With NTP precision, it might thatYAfor T3 < T1options < T2, soatthis Trade is executed (“filled”) bybeserver atIBM time T2 – log server A –– timestamped timestamped with with T1, record record sent to to the the logging logging server is how Cthe like whenT3, read aftersent the fact: 12 4 record sentlog to looks logging server 3 server server Market data feed BGP/OSPF IP Multicast T1 T2 Customer T3 X A B Buy IBM @250 Customer Fill IBM Y @250 Buy IBM @251 C HFT Algorithmic Trading Servers Logging Server Raises regulatory concerns around fair trading Precise timing provided by 1588 is needed to achieve accuracy in logging operations to alleviate regulatory problems MiFID-2/ MiFIR and ESMA • MiFID – Markets in Financial Instrument Directive • MiFIR – Markets in Financial Instrument Regulation • ESMA – European Security Market Authority • • Regulatory Technical Standard (RTS) Implementing Technical Standard (ITS) • Imposes: Fairer, safer and more efficient markets Greater transparency Stronger investor Protection