[ugrads] Need AMAT Students for IPRO Sponsored by Townsend Analytics

Greg Fasshauer fasshauer at iit.edu
Tue Aug 21 15:16:17 CDT 2007

Here is another IPRO looking for MATH majors - especially ones with a
financial interest.




Greg Fasshauer

Associate Chair and Director of Undergraduate Studies

Department of Applied Mathematics

Illinois Institute of Technology

Chicago, IL 60616

Office: Engineering 1, Room 208A,   email: fasshauer at iit.edu

Phone: (312) 567-3149                       or    fass at math.iit.edu

Fax: (312) 567-3135                         URL: http://math.iit.edu/~fass/



From: Tom Jacobius [mailto:jacobius at iit.edu] 
Sent: Tuesday, August 21, 2007 3:09 PM
To: pelsmajer at iit.edu; fasshauer at iit.edu; hickernell at iit.edu;
bielecki at iit.edu
Subject: Need AMAT Students for IPRO Sponsored by Townsend Analytics


This project could appeal to AMAT majors. Young Cho from your department is
enrolled, but maybe there is another strong student who would find this
project interesting.

Date: Mon, 20 Aug 2007 18:59:49 -0500
To: ms at iit.edu, ucci at iit.edu, anjali at iit.edu, flueck at iit.edu, wong at iit.edu,
locicero at iit.edu, williamson at iit.edu
From: Tom Jacobius <jacobius at iit.edu>
Subject: Need EE and CPE Majors for IPRO Sponsored by Townsend Analytics

I need your help (I am not sure who ECE academic advisers are) in
identifying one or two EE or CPE majors who would be interested and
qualified to contribute strongly to the following IPRO project (IPRO
497-313) that requires a combination of hardware and software insight.
Townsend is becoming a strategic partner with IIT and is very interested in
identifying EE, CPE, CS and other students who might be considered for
internships or career positions. Their IPRO sponsorship offers one channel
for getting to know our students and faculty. (I have not heard from any ECE
faculty members who might have expertise to contribute to this project, if
not as a co-instructor the perhaps as a technical expert.)

Thanks very much for your help!

Section: IPRO 497-313 for Fall 2007
Title: Ultra-High-Speed Market Data Ticker System
Sponsor: Townsend Analytics (A Lehman Brothers Company)
Faculty: Candidates include Ben Van Vliet (SSB) (bvanvliet at stuart.iit.edu)
and Wai Gen Yee (CS) (yee at iit.edu)
Appropriate Disciplines: Applied mathematics, business, computer
engineering, computer information systems, computer science, electrical
engineering, information technology management
Description: Townsend Analytics (http://www.taltrade.com
<http://www.taltrade.com/> ), the founder of Archipelago, the first fully
electronic stock exchange in the U.S., and their network continues to
support its data. Townsend Analytics also built RealTick, the premier
platform for market research and direct-access trading. This underscores the
role of Townsend Analytics as a constant innovator in the areas of
electronic trading platforms and execution management systems. Townsend
Analytics serves institutional and prime brokers globally, providing them
with fast and reliable data, advanced order routing and custom, real time
mid-office and back-office financial tools. 

Part of providing an excellent trading experience for both retail and
institutional traders is delivering real-time, accurate market data. Market
data rates have been steadily increasing over the years. The advent of penny
pricing, RegNMS, MiFID and other factors indicate that data rates will
continue to explode over the course of 2007 and 2008. For example, the
Options Pricing Reporting Agency (OPRA) has capped its maximum tick rate at
573 K quotes/s, but will soon increase that to 716 K. 

The surge in market data is a challenge for many market data aggregators.
Traditional multi-tiered architectures are showing signs of stress under
todays quote rates and total quote volumes. Existing large plants with
hundreds, if not thousands of CPUs are barely keeping up and will
undoubtedly need to be expanded even further as quote rates increase. For
enterprises to continue to viably capture and aggregate market data, new
technologies and architectures must be explored. 

The goal of this project is to build a system that can aggregate streaming
data from all major global market centers and disseminate this data to tens
of thousands of users in real time. The outgoing data needs to be
permissionable, meaning that each user can be entitled to subsets of the
overall offering. The aggregate throughput of the system must exceed 3
million quotes per second. It must keep up with predicted OPRA rates and
therefore needs to have a sustained throughput of at least 1 million
quotes/sec for that feed alone. The system must be designed so that data can
be provisioned from any of four data centers, wherever the lowest latency
can be obtained. The system cannot consume more than one standard rack of
space, use more than 3 kW power or emit more heat than 10,000 BTUs. 

It is envisioned that the project will have two main development components.
While the first component is likely to have a large electrical engineering
and computer electronics emphasis, the second part has more of a systems
management and business slant. The first component of this project is to
construct the core tick processing system. This system has roughly 4 layers:
(1) Translation, (2) Normalization and Archiving, (3) Caching and (4)

The second component of this project involves the productization of the core
system. This involves the addition of entitlements (to allow or disallow
receiving data), fortification, stabilization and providing means of
introducing new functionality on the fly. In order to provide an
availability of 99.999% during global market hours, it must have on-board
error detection and fault routing. Components must keep as little state as
possible and be automatically replaced or routed around in case of failure.
Hardware and software components must be hot-swappable. The system must have
an error notification scheme allowing for email and text messaging. It must
integrate with industry-standard monitoring schemas. It must have a facility
where new functionality can be introduced without impacting production. 

This project may span two semesters that advance progress in the above two
component parts of the project through feasibility investigation, review of
the state-of-the-art of enabling technologies, identification and
characterization of alternative solutions, and prototyping and

Townsend Analytics is keenly interested in becoming better acquainted with
IIT students in order to identify internship candidates and recruit for
full-time career positions. Experience gained through this IPRO team project
for Townsend Analytics can give an edge to team members who successfully
plan and execute their IPRO project work. 

Meeting Day/Time: The above IPRO 313 is tentatively scheduled for Tuesdays
and Thursdays from 3:15 to 4:30 pm. This day/time may change depending on
the schedule of IPRO instructor(s) and students interested in enrolling in
this IPRO section. Interested students are encouraged to contact Tom
Jacobius (jacobius at iit.edu).

Have a great day!

Thomas M. Jacobius, Director
Interprofessional Studies & The IPRO Program
Illinois Institute of Technology
3424 South State Street, 4th Floor
Chicago, Illinois 60616
(312) 567-3986
http://ipro.iit.edu <http://ipro.iit.edu/> 
It takes a team!

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