0
High Volume Low Latency
 Transaction Processing

   Presenters: Tony Harrop, CTO, LiquidityHub
               Jeremy Vicke...
Contents
  Overview of LiquidityHub
  Key challenges
  Technology overview
  Outcome
  Lessons learned




               ...
Overview
  Current Situation
     Interest Rate Swaps
     Manual process
     Multiple sources
     Trading mechanism ris...
Overview II
   Current Market Environment
     Introducing change in a volatile environment
     Change vs. execution conf...
Overview III
   LiquidityHub Vision
      Build platform that enables access to multiple sources
      Leverage existing d...
Overview IV




              Client Confidential
Key Challenges
  Performance
     Trade negotiation is time-sensitive, < 100 ms latency required
     Year one volume 20,0...
Key Challenges - Implementation
  Technology partner needed to define and implement the
  solution:
     Detica had a glob...
Technology – Functional Overview




              Client Confidential
Technology – Pricing Example
                                                                     Market Data
            ...
Technology - Products
       Quote Gateway        Gateway Tier           Market DataMDS
        Cameron US                ...
Technology – Hardware
                                                                                   Key
             ...
Technology – Product Performance
  Cameron Universal Server & Market Data Server
     FIX Servers
         FIX is a standa...
Technology – Product Performance
  WebLogic Real Time provided a huge performance improvement
  compared to standard Sun J...
Performance Monitoring
       JMX Monitoring Framework

                                      Gateway Tier
Monitoring     ...
Performance Monitoring
  Administration Application provides detailed statistics on:
     Latency
          Per message ty...
Outcome
  Designed, built and delivered the system in 9 months.
  System meets year 1 peak performance targets
     Curren...
Lessons Learned
  Create more testing tools
     Distributor GUI test harness
     Log search & view
  Early prototyping h...
Questions?

Tony Harrop                                                                         Jeremy Vickers
Chief Techn...
Upcoming SlideShare
Loading in...5
×

Jeremy Vickers Liquidity Hub

1,902

Published on

Published in: Business, Technology
0 Comments
1 Like
Statistics
Notes
  • Be the first to comment

No Downloads
Views
Total Views
1,902
On Slideshare
0
From Embeds
0
Number of Embeds
0
Actions
Shares
0
Downloads
27
Comments
0
Likes
1
Embeds 0
No embeds

No notes for slide

Transcript of "Jeremy Vickers Liquidity Hub"

  1. 1. High Volume Low Latency Transaction Processing Presenters: Tony Harrop, CTO, LiquidityHub Jeremy Vickers, Technical Architect, Detica Date: 12th March Reference: QCon 2008 Client Confidential
  2. 2. Contents Overview of LiquidityHub Key challenges Technology overview Outcome Lessons learned Client Confidential
  3. 3. Overview Current Situation Interest Rate Swaps Manual process Multiple sources Trading mechanism risk on dealer Client Confidential
  4. 4. Overview II Current Market Environment Introducing change in a volatile environment Change vs. execution confidence 'Market can find solution to sub prime debt crisis' Client Confidential
  5. 5. Overview III LiquidityHub Vision Build platform that enables access to multiple sources Leverage existing distribution channels Platform must scale to include future products Offer Request for Stream with real time pricing More transparency, better pricing Enable STP, reduce costs Client Confidential
  6. 6. Overview IV Client Confidential
  7. 7. Key Challenges Performance Trade negotiation is time-sensitive, < 100 ms latency required Year one volume 20,000 msg/s scaling to 100,000 msg/s by year five. Reliability No loss of trade messages / transactions Ease Of Integration Dealers and Distributors Availability 99.99% Time To Market Go Live Sept 2007 (9 months!) Client Confidential
  8. 8. Key Challenges - Implementation Technology partner needed to define and implement the solution: Detica had a global team with a track record implementing high volume low latency systems Event Driven & Real Time Architecture expertise Dedicated Market Services business area Combined business and technology capability Client Confidential
  9. 9. Technology – Functional Overview Client Confidential
  10. 10. Technology – Pricing Example Market Data (Composite Price) Distributors Dealers (REUTERS & BBG) (INVESTMENT BANKS) Gateway Tier Quote Gateway Trade Gateway Market Data Gateway Middleware Tier Middleware Server Middleware Server Application Tier Trade Admin Pricing Reporting Services Services Services Services Data Tier Database Client Confidential
  11. 11. Technology - Products Quote Gateway Gateway Tier Market DataMDS Cameron US Cameron Gateway BEA WLRT Trade Gateway BEA WLRT Middleware Server Fiorano JMS Middleware Tier Middleware Server Fiorano JMS BEA WLRT BEA WLRT Application Tier Trade Admin Pricing Reporting Spring Services Spring Services Spring Services Spring Services BEA WLRT BEA WLRT BEA WLRT BEA WLRT Data Tier Oracle RAC Database Client Confidential
  12. 12. Technology – Hardware Key HP DL360 Cameron US/MDS FIX Dual Core 2xCPU 3GHz WLRT 4GB RAM Trade & Quote Market Data Gateway Gateway HP DL580 Dual Core 4xCPU 3.4GHz FioranoMQ 8GB RAM WLRT Middleware Spring WLRT Trade Services Pricing Services Admin Services Reporting Services Oracle RAC Op/Trade Tick/Reporting Databases Databases Client Confidential
  13. 13. Technology – Product Performance Cameron Universal Server & Market Data Server FIX Servers FIX is a standard communications protocol within the Investment Banking domain but is flexible enough to be customised Cameron US/MDS can handle > 25,000 msg/s Fiorano MQ Pure JMS Server Can handle > 80,000 non-persistent msg/s Client Confidential
  14. 14. Technology – Product Performance WebLogic Real Time provided a huge performance improvement compared to standard Sun JVM With -15ms latency Without - significantly > 100ms latency Underpinned key components in each tier FIX Gateway Servers JMS Servers Spring Made Java solution a feasible and good choice for this system. System handling ~ 25,000 msg/s with 95th percentile latency ~15ms Client Confidential
  15. 15. Performance Monitoring JMX Monitoring Framework Gateway Tier Monitoring Quote Gateway Trade Gateway Market Data Gateway Web App MBean MBean MBean Middleware Tier Middleware Server Middleware Server Application Tier Trade Admin Reporting Pricing Services Services Services Services MBean MBean MBean Data Tier Database Client Confidential
  16. 16. Performance Monitoring Administration Application provides detailed statistics on: Latency Per message type Per component if required Throughput Server/Service Status Provides an easily understandable dashboard for LiquidityHub staff. Client Confidential
  17. 17. Outcome Designed, built and delivered the system in 9 months. System meets year 1 peak performance targets Current latency figures 4 – 8ms System can scale to much higher message volumes Phase 4 currently in progress Client Confidential
  18. 18. Lessons Learned Create more testing tools Distributor GUI test harness Log search & view Early prototyping helped de-risk the architecture Consider virtualization Managing 17 organisations is not easy! Weekly tech forums worked well Client Confidential
  19. 19. Questions? Tony Harrop Jeremy Vickers Chief Technology Officer Technical Architect Li Detica 1 Liverpool Street Peninsular House 2nd Floor, Suite 226 30-36 Monument Street London London EC2M 7QD EC3R 8LJ Tel: +44 (207) 956 2608 Tel: +44 (207) 812 4881 Mob: +44 (7771) 623808 Mob: +44 (7740) 923287 Email: tharrop@liquidityhub.com Email: jeremy.vickers@detica.com This presentation and its contents is confidential, may be legally privileged and is intended solely for the use of the individual or entity to whom it is addressed. Information contained herein is the sole property of LiquidityHub. Unauthorised disclosure, copying or distribution of such information is strictly prohibited and the recipient shall not redistribute it in any form to a third party. Client Confidential
  1. A particular slide catching your eye?

    Clipping is a handy way to collect important slides you want to go back to later.

×