SIFMA 2010 June 23 - Real Time Risk Management with Microsoft’s StreamInsight

Financial Services Technology Expo Real Time Risk Management with Microsoft’s StreamInsight A Microsoft Point of View Presentation Hilton New York Hotel New York, NY June 22-24, 2010

Real Time Risk Management with Microsoft’s StreamInsight Matt Davey 2

Agenda 3 StreamInsight: A Capital Markets Tale About Lab49 Capital Markets StreamInsight Solutions • Market Strategy Engine • Market Real-Time Risk (RTR) - SQL Server 2008 R2 • Market Real-Time Risk - Windows AppFabric Caching (Velocity) • Market Real-Time Risk - HPC Server 2008? Closing • Lessons Learnt

About Lab49

Lab49 5 About Us We create advanced solutions for the We combine the skills of our practices to financial services industry through strategic deliver innovation: and technical consulting: • Strategy group • Working with the world’s largest investment • User Experience practice banks, hedge funds and exchanges. • Development practices • Designing and delivering some of the most alongside the adoption of some key tenets: sophisticated and forward thinking financial applications. • Domain Driven Development • Applying user-centred principles to the world of • Lean Agile Process bespoke software. Our History • From concept to complete, ui to server. Lab49 was founded in 2002 and now comprises approximately 200 people, with offices in New York and London.

Capital Markets StreamInsight Solutions

Market Strategy Engine

Markets are Changing 8 Market Strategy Engine • Markets are becoming more complex • StreamInsight offers a cleaner way to process events in this complex world • Algorithmic trading has become mainstream • StreamInsight enhances the cleansing/validation of market data, order execution/management, pricing engines and more • Speed and latency are critical to maximising proﬁtability • StreamInsight’s leverages the Microsoft development platform to improve speed of development coupled with Microsoft’s commitment to “Process large volumes of events across multiple data streams” in “low latency” • Back testing in the search for new strategies • StreamInsight’s adapter architecture allows easy access to historical market data repositories e.g. kdb+

The Problem - Butterﬂy Strategy 9 Market Strategy Engine Leg Buy/Sell Working Leg Price Weight Size Weighting Bobl Buy Yes 1 1 Bund Sell No -0.28 0.28 Schatz Sell No -1.19 1.19 Buy 10 Bobl 10 Fly @ -49 Sell 3 Bund Sell 12 Schatz

StreamInsight Engine Flow 10 Market Strategy Engine (1) (3) (2)

Take Aways 12 Take Aways Benefits over existing non-CEP based strategy engines • StreamInsight offers the advantage and benefits of CEP principles • Working and reasoning with Time - dealing with out of order arrivals Benefits over existing competitor CEP based strategy engines • LINQ/.NET implementation • Easy integration to other Microsoft products • Lower total cost of ownership

Market Real-Time Risk: SQL Server 2008

Market Risk 14 Market Risk Market risk is the risk that the value of a portfolio, either an investment portfolio or a trading portfolio, will decrease due to the change in value of the market risk factors

Why The Need For Real-Time Risk (RTR)? 15 Why The Need For Real-Time Risk (RTR)? Investment banks need to hedge their positions Latency T-1 and warehousing - PnL Explain Servers are cheaper and faster than workstations Improved Aggregation and drill-down

High Level Architecture 16 High Level Architecture Streaminsight F# Agent Market Depth Strategy Strategy Deﬁnition LINQ Orders Agent Agent (F#) Market Agent (F#) Agent (F#) LINQ Leg Orders Trade LINQ Cancel Aggregation Shocking Curve Engine Market Risk HPC (GPU?)

Aggregation Engine Architecture 17 Aggregation Engine Architecture Static Data Microsoft StreamInsight Position Database Microsoft Analysis Input Output SQL Adapter Adapter Server 2008 R2 Services LINQ Risk Real-Time OLAP Input Push Output Cube Adapter Adapter XMLA Server Client Excel

RTR Highlights 18 RTR Highlights • StreamInsight process Risk data, feeding SQL Server 2008 R2 • StreamInsight provides the XMLA service with real-time push notiﬁcations - e.g. portfolio ID’s • “XMLA” Server sits between the client and SQL Server intercepting client requests, and providing “push” services (smart polling, subscription manager)

Take Aways 19 Take Aways Compared To Other Solutions • The Microsoft solution offers a modularised real-time risk solution that is customisable • It’s a complete Microsoft (.NET) stack • Leveraging SQL Server 2008 R2 Analysis Services - (ROLAP for T, and MOLAP T-x) Performance • We can improve further by adding another Microsoft product......

Market Real-Time Risk: Windows AppFabric Caching (Velocity)

Velocity RTR Architecture 21 Velocity RTR Architecture Static Risk Warehousing Data Microsoft StreamInsight Position Database SQL Microsoft Analysis Input Output Adapter Adapter Server 2008 R2 Services LINQ Risk Real-Time Input Push Output OLAP Adapter Adapter Cube Windows Server XMLA Server AppFabric XMLA Server Caching (Velocity) Client Excel

Database vs Cache 22 Database vs Cache Database Cache Notification Notification Service deprecated in SQL Server 2008 Windows AppFabric Cache Notification OLAP Cube Analysis Service Custom build of an in-memory cube Scalability Out the box partitioning, hot-hot support Distributed Cache

Take Aways 24 Take Aways Compared To Other Solutions • The Microsoft solution offers a modularised real-time risk solution that is customisable • It’s a complete Microsoft (.NET) stack • Best of both worlds • SQL Server - backup, warehousing (ROLAP for T, and MOLAP T-x) • Distributed Cache - performance

Market Real-Time Risk: Windows HPC Server?

Leveraging HPC Within Market Risk 26 Where Does HPC Fit Within Market Risk? • Compute Intensive • Cash Flow Calculations • Monte Carlo • Bumping the curve/Perturbation • Discount Factor Pre-Calculations • Job Distribution • Stateful/Stateless distribution of Market Risk calculation data • Dynamic partitioning of the cluster based on Service Level Agreements (SLA’s) • HPC tuning based on historical job data

StreamInsight + HPC Architecture 27 StreamInsight + HPC Architecture Strategy Engine Exchange/ (Microsoft Trade ECN StreamInsight) Windows Server HPC 2008 R2 Cluster HPC Scheduler HPC Node Market Risk Calculation Real-Time Cube (Microsoft F#) (OLAP) Trade Store/Snapped Market Data Node State Manager (Windows Server AppFabric Caching / HPC NodeManager Database)

Closing

Lessons Learnt 29 Lessons Learnt Business • StreamInsight improves the delivery timeline of business solutions Technology Thoughts • AdvancedTimeImportSettings can help within keeping time (CTI’s and joining streams) • UDF’s offer lots of extensibility • Supports Reactive Framework (Rx) • .NET 4 supported coming very soon StreamInsight V2 Wish List • UDF need to support the ability to returning Events, and open up to non-primitive types • Nested classes not supported • UDF’s static nature is restrictive

thank you for your time… any questions? matt davey (matt.davey@lab49.com) mdavey.wordpress.com | Tales from a trading desk

More Microsoft Sessions Tuesday June 22nd, 2:30 PM Madison Room: Cloud Computing In Financial Services Wednesday June 23rd, 8:00 AM Green Room – 4th Floor Breakfast: Microsoft CRM for Financial Services Wednesday June 23rd, 2:15 PM Petit Trianon Room – Real Time Risk Management with Microsoft’s StreamInsight Meet with our Cloud Computing, StreamInsight and HPC Product teams at the Green Room, 4th Floor Follow us on Twitter @FinServMSFT Visit us at www.microsoft.com/financialservices 31

More Microsoft Sessions Let us know about any topic you would like us to follow up on! Write the topic on the back of your business card Drop it off in the bowl on your way out of the session  You will be automatically entered to win a 16GB Zune HD!* *Winner need not be present to win. Winners notified at the end of the SIFMA conference.

SIFMA 2010 June 23 - Real Time Risk Management with Microsoft’s StreamInsight

by Matt Davey on Jun 23, 2010

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SIFMA 2010 June 23 - Real Time Risk Management with Microsoft’s StreamInsight — Presentation Transcript