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 2011 V0.84Wednesday, 27 April 2011

About Lab49 Lab49 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 History Lab49 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 Services Emphasis on the development of Front Office Trading Systems End-to-end solutions, from Strategy to User Interface to Server Copyright © 2011 Lab49 Inc. May not be reproduced by any means without express permission. All rights reserved. 2Wednesday, 27 April 2011

Overview Lab49 and ‣Low Latency Trading - Statistical Arbitrage Solace Systems Exchange-Traded Fund (ETF) ‣Single Dealer Platform (SDP) - Foreign Exchange Copyright © 2011 Lab49 Inc. 3 May not be reproduced by any means without express permission. All rights reserved.Wednesday, 27 April 2011

Low Latency Trading 4Wednesday, 27 April 2011

Overview - Statistical Arbitrage ETF (Equities) ‣ Challenge: To improve ‣ 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 © 2011 Lab49 Inc. 5 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. Copyright © 2011 Lab49 Inc. 6 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) Copyright © 2011 Lab49 Inc. 7 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 Solace Systems: Messaging Made Easy Copyright © 2011 Lab49 Inc. 8 May not be reproduced by any means without express permission. All rights reserved.Wednesday, 27 April 2011

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 ‣ 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 Microsoft .NET TPL Dataflow Library Copyright © 2011 Lab49 Inc. 9 May not be reproduced by any means without express permission. All rights reserved.Wednesday, 27 April 2011

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 © 2011 Lab49 Inc. 10 May not be reproduced by any means without express permission. All rights reserved.Wednesday, 27 April 2011

Demo - The Server 11Wednesday, 27 April 2011

Demo - The Client 12Wednesday, 27 April 2011

Single Dealer Platform Building Scalable Distributed Systems 13Wednesday, 27 April 2011

Overview - Single Dealer Platform ‣ Challenge: Reduce the ‣ Approach: Moving from, historically, software internet messaging “last mile” 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 © 2011 Lab49 Inc. 14 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. Copyright © 2011 Lab49 Inc. 15 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) Copyright © 2011 Lab49 Inc. 16 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 Solace Systems Web Messaging Copyright © 2011 Lab49 Inc. 17 May not be reproduced by e=any means without express permission. All rights reserved.Wednesday, 27 April 2011

Software: Actor Composite Application Paremus 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 Paremus Service Fabric and Akka Copyright © 2011 Lab49 Inc. 18 May not be reproduced by any means without express permission. All rights reserved.Wednesday, 27 April 2011

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 World’s 1st FX SDP architecture leveraging Solace Systems Web Messaging (for ‘Last Mile’) 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 19Wednesday, 27 April 2011

Demo - Single Dealer Platform (Foreign Exchange) 20Wednesday, 27 April 2011

Demo - Price Failover 21Wednesday, 27 April 2011

Waters North American Trading Architecture Summit April 2011

by Matt Davey on Apr 30, 2011

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Waters North American Trading Architecture Summit April 2011 — Presentation Transcript