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

Tomasz R. Bielecki bielecki at iit.edu
Tue Aug 21 15:20:46 CDT 2007

the way I read it, this project has nothing to do with finance, but everything to do with designing system architecture

  ----- Original Message ----- 
  From: Greg Fasshauer 
  To: 'AMATH Undergrad IIT' 
  Cc: pelsmajer at iit.edu ; hickernell at iit.edu ; bielecki at iit.edu 
  Sent: Tuesday, August 21, 2007 3:16 PM
  Subject: RE: Need AMAT Students for IPRO Sponsored by Townsend Analytics

  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), 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) Distribution. 

  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 demonstration. 

  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
  It takes a team!
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