SIAC Rewrites Software Upgrades Tandem Hardware

The October market break lent new urgency to the New York Stock Exchange's plan to increase trade processing capacity for 600- million-share days.

The blue room expansion, touted as a solution to the exchange's capacity problems, created more elbow room on the floor but didn't address many of the upstream order-routing delays that darkened Black Monday.

Much of the post-crash scrutiny of the NYSE's systems focused on the Universal Floor Device Controller (UFDC) printers.

The NYSE usually handles more market orders than limit orders, but during the market break limit orders outnumbered market orders by more than two to one. All limit orders and Intermarket Trading System orders, as well as market orders for stocks still operating in a paper environment, were routed through the UFDC switch.

Both the queuing capacity of the UFDC switch and the printers it feeds are being upgraded. In addition, the NYSE is working to bring all specialists onto the electronic display book, thereby reducing the traffic of market orders through the UFDC system.

Floor printers, however, were not the only source of order processing trouble during the crash. Some delays experienced by the Securities Industry Automation Corp. during the market crash were volume-related, rather than capacity-related, according to Ellen Kroll, vice president at SIAC.

Orders flowing into the common message switch are tagged, copied, and archived before routing to either the limit order (LMT) or market order (DOT) systems. Further iterations of this process occur before orders reach the NYSE floor.

These queuing and switching functions include subroutines that count incoming messages and assign identification numbers for control purposes.

Counters at the common message switch were originally programmed with numerical ceilings below the message volumes seen on Black Monday. "We were hitting sequences we never thought we'd see," says Kroll. When counters reached the highest numbers they'd been programmed to record, they simply declined to process additional orders.

Order files at the common message switch hit similar arithmetic overflow snags and had to be expanded on the fly. Recalcitrant counters and files are easily adjusted with a few well-chosen lines of code. Ideally, however, reprogramming shouldn't take place at the height of a market crisis.

In addition to these volume-related glitches, a number of capacity problems are being addressed through amendment of the software controlling both market order and limit order systems.

The portion of the limit order system that handles order entry and cancellations from the floor of the exchange started to back up during the market break, according to Kroll. This software module has been re-written to speed up the copying, archiving and routing of orders and cancellations. Additional software changes have been made in the limit order system's monitor program.

The NYSE's market order system is also undergoing software re- writes to allow for additional memory queuing, and to optimize data blocking.

On the hardware side, the limit order system is being upgraded from Tandem TXPs to Tandem VLXs. The Tandem VLX provides 1.6 to 2.2 times the transaction throughput of the TXP model and 50% faster instruction throughput. The VLX employs a processor co-developed with Motorola using silicon compilation techniques.

SIAC will also be installing Tandem's FOX -- fiber optic extension -- to link its Tandem clusters. FOX does for inter-cluster transfer rates what Tandem's 40 megabyte/sec dynabus does for interprocessor communications. At distances of up to two miles, FOX delivers four megabytes/sec transfer rates between Tandem clusters.