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Exchange Simulator
Exchange Simulator is the financial industry’s premier test harness for Order Management Systems (OMS). Exchange Simulator is a live, continuous QA environment, which allows for testing in many important areas:
- Exchange-Compatibility Testing. Validate an OMS against high-fidelity simulations of the following exchanges: AMEX, ARCA, BATS, BOX, BRUT, BTrade, CBOE, CME, CSX, INET, ISE, LAVA, LiquidNet, LSE, NASDAQ, NSX, NYFIX, NYSE, PCX, Pipeline, PHLX, SFE, and more…
- Functional Testing: Test your OMS against any positive or negative test scenario.
- Performance Testing: Stress and load testing.
- Regression Testing: Record, playback and iterative testing.
- Algorithmic Back-Testing: Features to allow testing of algorithmic trading systems.
What Does It Do?
Exchange Simulator is a live, continuous trading environment for testing your trading systems. Multiple exchanges are supported simultaneously using protocols such as FIX, CMS, CTCI, QIX, OUCH, and Sets (LSE), each with a full set of independent exchange rules.
Each simulated exchange can be interactively controlled by the user or automatically controlled on a scripted basis. Interactive control allows users to view and manage incoming messages, modify outgoing exchange responses, create, modify or trade orders. Under scripted control, the Exchange Simulator can automatically decide to fill, partially fill, cancel, or reject orders based on a user-defined algorithm.
Interactive testing
Using your trading system, developers, QA testers and production support staff can submit orders to the Exchange Simulator. They can inspect messages as they arrive at the simulator level or higher, as well as control and view market changes. Incoming and outgoing messages are related to orders and displayed for easy-to-follow tracking and viewing. From the Simulator Console, users can control testing by modifying tags or values on response messages, by busting or correcting trades, and by sending forced trades or unsolicited cancel/replace requests. They can simulate race conditions, market open and close transitions and failure/recovery scenarios. The Exchange Simulator Console’s organization and presentation of market activity is meant to simplify testing by presenting user messages that are organized and readable.
Simulate Exchange-Specific Behavior
Exchange Simulator allows users to test against different exchange types, simulating behaviors specific to each destination. This includes whether executions and OrderID values are carried on replace, whether order acknowledgements are sent, and how rejections are formatted. Exchange Simulator gives users the ability to have total control over a test environment for each exchange type, enabling sophisticated testing in-house. Advanced exchange features, such as NYSE multi-line communication, and Super Montage Automatic Quote Refresh, are simulated. Multiple instances of each exchange type can be defined, allowing isolation between different testing teams.
Debugging Production Failures
Exchange Simulator supports the import of production data from your trading system. It permits you to selectively replay this information, in order to reproduce, isolate, and debug production failures. By simultaneously feeding production data into both the simulator and your trading system, a realistic reconstruction of production conditions and failures can be achieved.
Regression Testing
Manual regression testing is a tedious, costly process. Regression tests can be recorded by putting Exchange Simulator in scripted mode and running test scenarios through the trading system. In this way, a well thought-out set of comprehensive regression tests can be replayed with the trading system on a timed, synchronized basis, ensuring that future system releases are thoroughly tested and reliable. Users can easily script custom rules using the Rules Wizard to automate test scenarios for sophisticated regression testing.
Performance & Load Testing
Simulate peak trading by driving your system to create a large volume of orders while running Exchange Simulator in automatic mode. Using this capability, you can explore the response time and robustness of your trading system when subjected to heavy loads. To support load testing, Exchange Simulator can be run in High Performance mode, in which core functionality is present, but disk overhead is greatly reduced. For even faster performance, a special Load Test mode is available, in which messages are immediately acknowledged, resulting in extremely fast turnaround time.
Simulates a Real Market Environment
Simulate any market environment around your trading system. The Exchange Simulator can receive a real-time market feed, such as Reuters, Comstock, Wombat or even direct market feeds (e.g., ITCH), and, thereby cross orders at live market prices. This allows you to validate program trading algorithms as your computer-generated orders are crossing. Additionally, the Exchange Simulator can publish its “book” via market data feeds (e.g., Reuters, Wombat or ITCH) to generate controlled pricing into your trading system. This allows you to verify the processing and routing of orders, often dependent on market pricing data.
Enterprise Ready
Exchange Simulator can be scaled to the enterprise level, allowing several groups of users to leverage its power and ease of use. To support use in an enterprise environment, Exchange Simulator includes an advanced Management interface, the ability to run multiple isolated simulations, and administration diagnostics and alerts.
Benefits
- Reduces development costs by providing an easy-to-use test platform that is always available. Includes many features not typically available in an Exchange or ECN test site, allowing full control over testing.
- Simulates exchange-specific behavior.
- Eliminates problems and delays of coordinating with Exchanges and ECNs.
- Reduces testing costs by eliminating time-consuming and error-prone manual testing.
- Improves the quality of your trading system software by enabling creative and comprehensive QA testing, and by supporting automatic regression and load testing.
- Reduces time to correct errors by enabling replay of production problems.
- Recreates “real” market conditions to verify program trading strategies and order routing and processing algorithms.
- Provides heavy-duty Load and Performance test capabilities.
In Summary
Aegis’ goal is to provide testing solutions that are thorough, fast, simple, repeatable, and always available. Exchange Simulator meets this goal by giving your development, QA and support teams a comprehensive, real-time testing environment for your trading systems.
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