Waters North American Trading Architecture Summit April 2011
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Slide deck from my talk at Waters North American Trading Architecture Summit April 2011, featuring Solace System, Microsoft and Paremus software
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Waters North American Trading Architecture Summit April 2011
- 1. Optimizing High-Performance Trading Solutions: An Engineering Perspective Matt Davey, CTO, Lab49 (www.lab49.com) Blog: http://mdavey.wordpress.com April 2011 V0.84 Wednesday, 27 April 2011
- 2. About Lab49 Lab49 is a strategy, design and technology consulting ๏ฌrm. Lab49 deliver strategic consulting and advanced solutions for the ๏ฌnancial services industry. Our clients include many of the worldโs largest investment banks, hedge funds and exchanges. We design and deliver some of the most sophisticated and forward thinking ๏ฌnancial 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 History Lab49 was founded in 2002 and now comprises over 200 people, with major of๏ฌces in New York and London. We offer: An exclusive focus on Financial Services Emphasis on the development of Front Of๏ฌce Trading Systems End-to-end solutions, from Strategy to User Interface to Server Copyright ยฉ 2011 Lab49 Inc. May not be reproduced by any means without express permission. All rights reserved. 2 Wednesday, 27 April 2011
- 3. Overview Lab49 and โฃLow Latency Trading - Statistical Arbitrage Solace Systems Exchange-Traded Fund (ETF) โฃSingle Dealer Platform (SDP) - Foreign Exchange Copyright ยฉ 2011 Lab49 Inc. 3 May not be reproduced by any means without express permission. All rights reserved. Wednesday, 27 April 2011
- 4. Low Latency Trading 4 Wednesday, 27 April 2011
- 5. Overview - Statistical Arbitrage ETF (Equities) โฃ Challenge: To improve โฃ Approach: Leveraging existing software pattern, a User Experience scalability and lower driven process and hardware appliances to deliver a solution to latency within the satisfy the business demand statistical arbitrage ETF space Lab49 is the leading provider of innovative Lab49 Innovation On Demand Copyright ยฉ 2011 Lab49 Inc. 5 May not be reproduced by any means without express permission. All rights reserved. Wednesday, 27 April 2011
- 6. 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. Copyright ยฉ 2011 Lab49 Inc. 6 May not be reproduced by any means without express permission. All rights reserved, Wednesday, 27 April 2011
- 7. Solution Lab49 Statistical Arbitrage Exchange-Traded Fund (ETF) = Solace Systems Messaging Middleware (Hardware) + Microsoft .NET TPL Dataflow Library (Software) Copyright ยฉ 2011 Lab49 Inc. 7 May not be reproduced by any means without express permission. All rights reserved. Wednesday, 27 April 2011
- 8. 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 Solace Systems: Messaging Made Easy Copyright ยฉ 2011 Lab49 Inc. 8 May not be reproduced by any means without express permission. All rights reserved. Wednesday, 27 April 2011
- 9. Software: Messaging & Dataflow Patterns We 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 โฃ 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 โฃ Value grows as system size and parallelism scales up Microsoft .NET TPL Dataflow Library Copyright ยฉ 2011 Lab49 Inc. 9 May not be reproduced by any means without express permission. All rights reserved. Wednesday, 27 April 2011
- 10. Statistical Arbitrage ETF Agent-Actor Architecture OMS ... CCY Per ETF Pair Per ETF CCY Pair Asset Trade Signals Asset Normal Normal Asset Normal Virtual isation Asset isation Normal ETF Assetisation Normal Asset Normal Virtual isation isation Asset Normal isation Real ETF (ETF) isation ETF RIA Asset (ETF) Normal Real ETF Fabric isation ETF Trade Arb Signal Trade Signal Arb ETF CCY Pair ETF CCY Pair Asset Normalisaton Virtual ETF Arbitrag Asset Normalisaton Virtual ETF FX/Equity/ETF Asset Data Normalisaton Real ETF Agent-Actor Architecture leveraging OMS Market and appropriate static data Arbitrag Asset Normalisaton Real ETF both off-host and shared-memory Trade Signal low latency messaging Trade Signal Copyright ยฉ 2011 Lab49 Inc. 10 May not be reproduced by any means without express permission. All rights reserved. Wednesday, 27 April 2011
- 11. Demo - The Server 11 Wednesday, 27 April 2011
- 12. Demo - The Client 12 Wednesday, 27 April 2011
- 13. Single Dealer Platform Building Scalable Distributed Systems 13 Wednesday, 27 April 2011
- 14. Overview - Single Dealer Platform โฃ Challenge: Reduce the โฃ Approach: Moving from, historically, software internet messaging โlast mileโ message push product solutions to hardware appliances to improve scalability latency and reduce latency Lab49 is the leading provider of innovative Lab49 Innovation On Demand Copyright ยฉ 2011 Lab49 Inc. 14 May not be reproduced by any means without express permission. All rights reserved. Wednesday, 27 April 2011
- 15. 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. Copyright ยฉ 2011 Lab49 Inc. 15 May not be reproduced by any means without express permission. All rights reserved. Wednesday, 27 April 2011
- 16. Solution Lab49 Foreign Exchange (FX) Single Dealer Platform (SDP) = Solace Systems Web Streaming (Hardware) + Paremus OSGi Service Fabric and Akka (Software) Copyright ยฉ 2011 Lab49 Inc. 16 May not be reproduced by any means without express permission. All rights reserved. Wednesday, 27 April 2011
- 17. Hardware: Web Streaming (โLast Mileโ) Performance โฃ 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 โฃ Full publisher/subscriber or request/reply messaging semantics Solace Systems Web Messaging Copyright ยฉ 2011 Lab49 Inc. 17 May not be reproduced by e=any means without express permission. All rights reserved. Wednesday, 27 April 2011
- 18. Software: Actor Composite Application Paremus Service Fabric โฃ Enables composite applications (OSGi, WAR or JEE) to be simply deployed, scaled and managed โฃ Utilise available resources dynamically โฃ Model-Driven to improve business agility and reduce labor intensive upgrades โฃ Robust self healing fabric โฃ Low latency DDS based distributed messaging backplane for service monitoring, discovery and configuration Akka (Open Source) โฃ Actor framework for Java and Scala โฃ Software Transactional Memory Paremus Service Fabric and Akka Copyright ยฉ 2011 Lab49 Inc. 18 May not be reproduced by any means without express permission. All rights reserved. Wednesday, 27 April 2011
- 19. SDP Architecture Internet CCY Per ETF Pair Per ETF CCY Pair Asset Trade Signals Asset Normal Normal Asset Normal Virtual isation Asset isation Normal ETF Assetisation Normal Asset Normal Virtual isation isation Asset Normal isation Real ETF (ETF) isation ETF RIA Asset Normal Real Authentication/ HTML5 RIA (ETF) isation Trade ETF Entitlements Signal Trade Arb RIA Services Layer Arb Signal Worldโs 1st FX SDP architecture leveraging Solace Systems Web Messaging (for โLast Mileโ) Internal sell-sideFX/Equity/ETF Market Data systems and appropriate static data OMS CCY Per ETF Pair Per ETF CCY Pair Asset Trade Signals Credit Asset Normal Normal Asset Normal Virtual isation Asset isation Normal ETF Assetisation Normal Streaming Asset Normal Virtual Asset Normal isation isation isation Real ETF Engine (ETF) RIA isation Asset ETF Normal Real Tiering (ETF) isation ETF Trade Arb Signal Trade Arb Signal Tick Trade Settlement/ Content OMS Pricing Repository Repository Confirmation Repository Engine 19 Wednesday, 27 April 2011
- 20. Demo - Single Dealer Platform (Foreign Exchange) 20 Wednesday, 27 April 2011
- 21. Demo - Price Failover 21 Wednesday, 27 April 2011