Waters North American Trading Architecture Summit April 2011
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Transcript of Waters North American Trading Architecture Summit April 2011
Optimizing High-Performance Trading Solutions: An Engineering Perspective
Matt Davey, CTO, Lab49 (www.lab49.com)Blog: http://mdavey.wordpress.com
April 2011V0.84
Wednesday, 27 April 2011
About Lab49Lab49 is a strategy, design and technology consulting firm. Lab49 deliver strategic consulting and advanced solutions for the financial services industry. Our clients include many of the world’s largest investment banks, hedge funds and exchanges.
We design and deliver some of the most sophisticated and forward thinking financial applications in the industry today, and have an impeccable delivery record on mission critical systems. Our focus on innovation has led us to adopt user-centric practices that drive the design of solutions based on user needs and goals whilst delivering against the business requirements and delivery timescales. We achieve this through the combination of our industry leading Strategy Group, User Experience practice, Domain-Driven Development philosophy and Lean Agile processes.
Our HistoryLab49 was founded in 2002 and now comprises over 200 people, with major offices in New York and London.
We offer:An exclusive focus on Financial ServicesEmphasis on the development of Front Office Trading SystemsEnd-to-end solutions, from Strategy to User Interface to Server
2Copyright © 2011 Lab49 Inc.May not be reproduced by any means without express permission. All rights reserved.
Wednesday, 27 April 2011
Overview
Lab49 and Solace Systems
‣Low Latency Trading - Statistical Arbitrage Exchange-Traded Fund (ETF)
‣Single Dealer Platform (SDP) - Foreign Exchange
3Copyright © 2011 Lab49 Inc.May not be reproduced by any means without express permission. All rights reserved.
Wednesday, 27 April 2011
Low Latency Trading
4
Wednesday, 27 April 2011
Overview - Statistical Arbitrage ETF (Equities)‣Challenge: To improve
scalability and lower latency within the statistical arbitrage ETF space
‣Approach: Leveraging existing software pattern, a User Experience driven process and hardware appliances to deliver a solution to satisfy the business demand
Lab49 is the leading provider of innovative
5
Lab49 Innovation On Demand
Copyright © 2011 Lab49 Inc.May not be reproduced by any means without express permission. All rights reserved.
Wednesday, 27 April 2011
Problem Domain
Calculation of the sum of the Exchange-Traded Fund (ETF) parts could show that the ETF is temporarily mispriced. There maybe an opportunity for arbitrage while they re-converge.
6Copyright © 2011 Lab49 Inc.May not be reproduced by any means without express permission. All rights reserved,
Wednesday, 27 April 2011
Solution
Lab49 Statistical Arbitrage Exchange-Traded Fund (ETF) =
Solace Systems Messaging Middleware (Hardware)+
Microsoft .NET TPL Dataflow Library (Software)
7Copyright © 2011 Lab49 Inc.May not be reproduced by any means without express permission. All rights reserved.
Wednesday, 27 April 2011
Hardware: Appliance Driven Messaging Middleware
Hardware Messaging Middleware
Offers consistent out-of-the-box experience
Options: Guaranteed Messaging, Message Caching, Geospatial Routing
Lower deployment costs
Unified API
Inter-Process Communication (IPC) - shared memory channel
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Solace Systems: Messaging Made Easy
Copyright © 2011 Lab49 Inc.May not be reproduced by any means without express permission. All rights reserved.
Wednesday, 27 April 2011
Software: Messaging & Dataflow PatternsWe are all trained to think like machines in terms of sequential flow of operation on data,
Microsoft .NET tasks are better than Operating System (OS) threads because tasks enable you to think in terms of chunks of work rather than execution flow.
Tasks, however, still require coordination of state around shared data‣ tasks/thread complexity increases with size of code base
Writing to actor-message or dataflow patterns enable you to design around data flow avoiding shared state‣Value grows as system size and parallelism scales up
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Microsoft .NET TPL Dataflow Library
Copyright © 2011 Lab49 Inc.May not be reproduced by any means without express permission. All rights reserved.
Wednesday, 27 April 2011
Statistical Arbitrage ETF Agent-Actor Architecture
Agent-Actor Architecture leveraging both off-host and shared-memory low latency messaging
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Asset Normalisaton Virtual ETF
Asset Normalisaton Real ETF
Arbitrag
CCY Pair
Trade Signal
ETF
ETF Fabric
FX/Equity/ETF Market Data and appropriate static data
Trade Signals
RIA
OMS
Per ETFCCY Pair
AssetAssetAsset
Asset (ETF)
NormalisationNormalisationNormalisation
Normalisation
Virtual ETF
Real ETF
ArbTradeSignal
Per ETFCCY Pair
AssetAssetAsset
Asset (ETF)
NormalisationNormalisationNormalisation
Normalisation
Virtual ETF
Real ETF
ArbTradeSignal
Asset Normalisaton Virtual ETF
Asset Normalisaton Real ETF
Arbitrag
CCY Pair
Trade Signal
ETF
OMS ...
Copyright © 2011 Lab49 Inc.May not be reproduced by any means without express permission. All rights reserved.
Wednesday, 27 April 2011
Demo - The Server
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Wednesday, 27 April 2011
Demo - The Client
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Wednesday, 27 April 2011
Single Dealer Platform
Building Scalable Distributed Systems
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Wednesday, 27 April 2011
Overview - Single Dealer Platform
‣Challenge: Reduce the “last mile” message latency
‣Approach: Moving from, historically, software internet messaging push product solutions to hardware appliances to improve scalability and reduce latency
Lab49 is the leading provider of innovative
14
Lab49 Innovation On Demand
Copyright © 2011 Lab49 Inc.May not be reproduced by any means without express permission. All rights reserved.
Wednesday, 27 April 2011
Problem Domain
Wikipedia - A single-dealer platform (SDP) is software used by an investment bank dealing in the capital markets to deliver trading and associated services via the Web. The function of an SDP is to integrate pricing, liquidity, and pre-sales content from multiple sources within a bank and provide access to them via a single user interface. It is thus both an integration platform and a delivery platform.
15Copyright © 2011 Lab49 Inc.May not be reproduced by any means without express permission. All rights reserved.
Wednesday, 27 April 2011
Solution
Lab49 Foreign Exchange (FX) Single Dealer Platform (SDP) =
Solace Systems Web Streaming (Hardware)+
Paremus OSGi Service Fabric and Akka (Software)
16Copyright © 2011 Lab49 Inc.May not be reproduced by any means without express permission. All rights reserved.
Wednesday, 27 April 2011
Hardware: Web Streaming (‘Last Mile’)Performance‣9,000 client connections and 900,000
messages per second throughput, average latency of 37 microseconds and just 44 microseconds at the 99.9th percentile
Lower deployment costs
Unified API‣Full publisher/subscriber or request/reply
messaging semantics
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Solace Systems Web Messaging
Copyright © 2011 Lab49 Inc.May not be reproduced by e=any means without express permission. All rights reserved.
Wednesday, 27 April 2011
Software: Actor Composite ApplicationParemus Service Fabric ‣Enables composite applications (OSGi, WAR or JEE) to be simply deployed, scaled and managed
‣Utilise available resources dynamically
‣Model-Driven to improve business agility and reduce labor intensive upgrades
‣Robust self healing fabric
‣Low latency DDS based distributed messaging backplane for service monitoring, discovery and configuration
Akka (Open Source)‣Actor framework for Java and Scala
‣Software Transactional Memory
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Paremus Service Fabric and Akka
Copyright © 2011 Lab49 Inc.May not be reproduced by any means without express permission. All rights reserved.
Wednesday, 27 April 2011
SDP Architecture
World’s 1st FX SDP architecture leveraging Solace Systems Web Messaging (for ‘Last Mile’)
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HTML5 RIA
Internet
Settlement/Confirmation
Content Repository
OMS Pricing Engine
Streaming Engine
Credit
Tiering
Trade Repository
Tick Repository
Authentication/Entitlements
Internal sell-side systems
RIA Services Layer
FX/Equity/ETF Market Data and appropriate static data
Trade Signals
RIA
OMS
Per ETFCCY Pair
AssetAssetAsset
Asset (ETF)
NormalisationNormalisationNormalisation
Normalisation
Virtual ETF
Real ETF
ArbTradeSignal
Per ETFCCY Pair
AssetAssetAsset
Asset (ETF)
NormalisationNormalisationNormalisation
Normalisation
Virtual ETF
Real ETF
ArbTradeSignal
FX/Equity/ETF Market Data and appropriate static data
Trade Signals
RIA
OMS
Per ETFCCY Pair
AssetAssetAsset
Asset (ETF)
NormalisationNormalisationNormalisation
Normalisation
Virtual ETF
Real ETF
ArbTradeSignal
Per ETFCCY Pair
AssetAssetAsset
Asset (ETF)
NormalisationNormalisationNormalisation
Normalisation
Virtual ETF
Real ETF
ArbTradeSignal
Wednesday, 27 April 2011
Demo - Single Dealer Platform (Foreign Exchange)
20
Wednesday, 27 April 2011
Demo - Price Failover
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Wednesday, 27 April 2011