Frequently Asked Questions 
01/04/2011 
 
General
1. What are the key enhancement areas for AMS/3.8 and MDS/3.8?

AMS/3.8 and MDS/3.8 are primarily technology upgrades to fast track capacity and latency improvements of HKEx’s securities trading and market data systems.

The aim of the upgrade to AMS/3.8 is to enhance the existing securities trading system by increasing its order processing capacity to 30,000 orders per second and reducing its order processing latency, excluding the network transmission time, to around 9 milliseconds on average.  If future need arises, HKEx will be able to scale up the processing capacity of AMS/3.8 to 150,000 orders per second with additional hardware.

AMS/3.8 and MDS/3.8 will include a number of streamlined functions and there will be technical changes to ensure the systems are aligned with the prevailing market environment to improve trading efficiency and pave the way for future system upgrades and expansion.

After the rollout of AMS/3.8 and MDS/3.8, HKEx will introduce more market datafeed products to meet increasing demand for deeper and faster market data.
 

MDS/3.8 (by End of 2011)
1. Why the Market Data System (MDS) needs to be upgraded?

The trading system of securities market is upgraded to AMS/3.8 to achieve the 10-fold improvement on order processing capacity and latency.  With the expected increase in the market data volume, it is mandatory for MDS to be upgraded to align the new system performance improvement targets. 

By having this upgrade in place, HKEx can further provide a variety of datafeed products with deeper and faster market data in meeting different IVs and investors needs.
 

2. What functional and technical changes have been made in this MDS/3.8 upgrade?
 

The existing Market Datafeed (MDF) will be enhanced to MDF 3.8 (previously named as Unicast Standard Level-2) Datafeed to accommodate the following functional and technical changes. 

  • the market data broadcast rate is doubled from 1,000 stock page updates per second to 2,000 stock page updates per second
  • the market depth is also doubled from 5 to 10 best bid/ask price levels
  • other technical changes listed in Appendix 6 of the Information Paper (except the first change on the list. Message frame size will remain at 32K bytes, instead of changing to 56K bytes, upon the rollout of MDS/3.8 system upgrade)

As a means to mitigate migration challenge for IVs, the existing MDF will be retained in its original market data broadcast rate of 1,000 stock page updates per second and 5 best bid/ask price levels in addition to the enhanced MDF 3.8 (previously named as Unicast Standard Level-2) Datafeed as a transitional arrangement.
   

3. How should information vendors (IVs) prepare for their infrastructure upgrade?
 
IVs should assess their application infrastructure from datafeed handling through downstream dissemination to customer premises equipment and upgrade corresponding components where appropriate.   It is advised that IVs should plan ahead to ensure the end-to-end market readiness.
 
4. Will there be simulator provided for IVs application enhancement?
   

Market Datafeed Simulator (MDFS) with canned data was provided to IVs in March 2011 to facilitate IVs application testing.  IVs can expect this simulator capable to generate the original MDF and MDF 3.8 datafeed data messages in a standalone manner.  IVs could utilize this simulator to conduct their proper stress, integration and user acceptance test beforehand.
 

5. Can HKEx provide testing facilities for IVs verification?
   

IVs may choose to further verify their enhanced systems compatibility by connecting to MDS End-to-End test that will be provided in July to early August 2011.  The End-to-End test will be operated on a system separate from the production environment and IVs have to install separate SDNet testing line for access of such testing facilities.

IVs may refer to the MDS/3.8 System Upgrade Information Pack for the respective arrangement.
 

6. Will test charges be imposed to IVs who participate in the End-to-End test?
 

No test charges will be imposed to IVs who passed the simulator test or those IVs who have legitimate technical reasons for not taking the simulator tests. Otherwise, all participated IVs would be subject to the standard testing charges as stated in the End-to-End test Participation Form enclosed in the MDS/3.8 System Upgrade Information Pack.
 

7. Will there be market rehearsals available before MDS/3.8 official production rollout?
    

All IVs are required to ensure their enhanced systems ready to join the market rehearsals that will be conducted over a number of weekends in the third and fourth quarters of 2011.  IVs should expect to handle high volume of market data rate during the market rehearsals.

IVs should note that only those IVs who passed either the End-to-End test or simulator test will be eligible to join the market rehearsals of MDF 3.8 datafeed.
 

8. What if IVs anticipate that they have difficulty in migration of all their market data services by end 2011 in order to support the new market data broadcast rate under MDS/3.8?
 

In order to smooth out the migration of market data services provided by IVs for the target market data volume under the MDS/3.8, there will be a transitional arrangement whereby the existing Market Datafeed (MDF) will continue to be available at its original message rate (i.e. 1,000 stock page updates per second) and the existing level of market depth (i.e. up to 5 best price levels only) as an option to IVs, on top of the MDF 3.8 (previously named as Unicast Standard Level-2) datafeed at the standard message rate of 2,000 stock page updates per second and market depth of 10 best price levels. 

IVs that retain the MDF should still accommodate the technical changes that are related to original “MDF” listed in Appendix 6 of the Information Paper (except the first change on the list. Message frame size will remain at 32K bytes, instead of changing to 56K bytes, upon the rollout of MDS/3.8 system upgrade).  Proper simulator testing and market rehearsals should be conducted to ensure their application infrastructure compatibility to MDS 3.8.  IVs should also be reminded that these unicast based “MDF” and MDF 3.8 (previously named as Unicast Standard Level-2) datafeed will target to be retired tentatively by end of 2012 (as mentioned in Appendix 2 of the Information Paper).  Therefore IVs eventually are expected to migrate to multicast based datafeed products.
   

New Multicast Datafeed Products to be rolled out progressively after the Launch of MDS 3.8
 
1. As there are multiple multicast data feed products to be offered, which datafeed products should IVs determine to subscribe?
 
There will be four specialized datafeed products going to be offered tentatively (6 months afterwards) with different market data characteristics.  IVs should conduct full business assessment on the new datafeed products if any of them fit their business.  IVs may mix and match these four diverse data feed products to customize their varieties of business packaging and offer to their customers.
 
2. Why is the transmission protocol changed from unicast to multicast?
 
Multicast transport is generally recognized as a very efficient means of distributing market data services to a wide audience in the financial industry.  The principal advantage of IP multicast networking is that a single IP packet may be generated by the MDS host and then forwarded to a group of interested IV receivers.  This permits the optimization of both Application and Network resources at MDS host and IV’s application infrastructure.
 
3. Can IVs migrate to multicast feed during MDS/3.8 upgrade in 2011 Q4?
 
To mitigate the implementation risks, the multicast datafeeds will not be offered at the rollout of MDS/3.8.  The market data system upgrade exercise is implemented in phases by first focusing on market data broadcast rate and price level information increase (2011 Q4), then migrating from unicast to multicast based multiple datafeed products (by tentatively 6 to 9 months after the rollout of MDS/3.8), further offering sophisticated full book feeds (by tentatively 6 months after the rollout of the aforementioned new multicast datafeeds). 
 
4. What is the purpose of trader ticker timestamp extended to (HH:MM:SS) precision?
 
For those two multicast based Level 2 datafeed products, the MDS host will disseminate more precise trade ticker timestamp information to improve market transparency.
 
5. Why are the Low Latency and Full Book datafeeds not carrying broker ID information anymore?
 
Both datafeed products focus on low latency market data dissemination and therefore broker queue information with broker identity are excluded to streamline payload on these two datafeed products.
 
6. Why is the Low Latency Datafeed requiring a bandwidth of at least 10Mbps or even up to 50Mbps?
 
This low latency feed will disseminate incremental refresh of market data contents in a streaming mode i.e. a message is generated every time the order book is updated.  It is expected that a range between 6,000 to 30,000 updates per second will occur at peak opening period which requires an estimated bandwidth of between 10Mbps to 50Mbps  to disseminate such volume of market data contents.
 
7. Will index information continue to be available in other datafeeds aside from the Index Feed?
 
The upgraded MDS host is optimized to disseminate specific market data contents via multiple datafeed products.  In order to attain the expected market data broadcast rate of the Level-2 datafeed products, only the real-time securities market data will be contained.  The index information will only be contained in the dedicated Index Feed.  
 
8. Will Level 1 and Level 2 information still be offered in Full Book Datafeed?
 
The upgraded MDS host is optimized to disseminate specific market data contents via multiple data feed products.  In order to attain the expected market data broadcast rate, the Full Book Datafeed will focus intensively on order action details only.  IVs may wish to subscribe the Level 1 and Level 2 information through Level-2 datafeeds. 
 
9. When should information vendors migrate to SDNet 2.0?
 
As multicast based datafeed products typically require higher bandwidth to disseminate market data contents, it is expected IVs will need to migrate SDNet 2.0 by 3 months beforehand when they are ready to migrate to multicast based data feed products.  IVs will be notified in due course once the schedule is confirmed.