JSE Maps Out Derivatives Data Migration

The project will allow JSE to have a direct relationship with clients that currently rely on intermediaries for market data from the exchange, providing a more flexible and cost-efficient offering for end users, officials say.

JSE's derivatives datafeeds currently use a proprietary protocol that would require expensive point-to-point connections between South Africa and London for each client, and hence does not allow the exchange to transport derivatives data to the UK in a cost-effective manner, whereas a multicast feed would allow the exchange to distribute it to multiple consumers simultaneously from the London PoP, says Ana Forssman, director of market data at JSE.

Forssman says MillenniumIT─which operates a multicast data distribution leveraging the industry standard FIX and ITCH protocols─is already well-known to JSE's data distributors globally, and will give JSE a more direct reach to London-based trading firms and data vendors that want to consume or distribute derivatives data directly from the exchange.

Forssman says the exchange is focusing on making it "as cost- and maintenance- and development-efficient as possible" for clients to access and consume the exchange's data, by using a feed with a standard protocol. "To achieve cost efficiency, we have to make sure that the cost of bandwidth transport from South Africa to London, which is extensive, is also contained. The only way to contain it is to move it from the current protocol to multicast data, because what you are then doing is... transporting it once and splicing it out to all the clients," Forssman adds.

Following the migration, JSE expects to have greater flexibility in how it provides data to clients─such as by delivering different datasets via specific channels─but will assess client needs during the process, including whether the majority of clients want data in FIX or ITCH format, to avoid supporting duplicative protocols, Forssman says, adding that it is too early to say whether clients will need to make any changes to their own infrastructures.

Once JSE has migrated its derivatives markets to Millennium IT, the data will become available in the London PoP, as well as at JSE's co-location center in Johannesburg, which went live for equities on Monday, May 12 (IMD, April 14, 2014), providing roundtrip latency of 150 microseconds, compared to 2,550 microseconds before, and offers space, power, cooling, and physical security for 35 racks of hosting space.

The overall project, which will also affect JSE's trading, clearing and risk environments in addition to just market data, will span the next two to three years, with a first phase─which will see the migration of equity derivatives including equity options, futures and currency derivatives to MillenniumIT─expected to be completed sometime in 2016, while commodity derivatives are expected to migrate at a later date.