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Trade and Event Processing at a Massive Scale - QCon NY 2012
The document discusses various aspects of trading, including price listings and trading volumes, as well as methods for processing trades using multi-threading and different validation techniques. It highlights the performance of single-threaded and multi-threaded operations, noting the lack of fairness in queues. Additionally, it references multiple sources related to trading and processing methodologies.
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Trade and Event Processing at a Massive Scale - QCon NY 2012
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- 9. Buy Sell 50, $12 60, $10 60, $11 100, $11 30, $10 30, $12
- 10. Price: $10 Buy Sell 50, $12 60, $10 60, $11 100, $11 30, $10 30, $12
- 11. Price: $10 Buy Sell 60, $11 10, $10 30, $10 100, $11 30, $12
- 12. Price: $10 Buy Sell 60, $11 10, $10 30, $10 100, $11 30, $12
- 13. Price: $10 Buy Sell 50, $11 100, $11 30, $10 30, $12
- 14. Price: $11 Buy Sell 50, $11 100, $11 30, $10 30, $12
- 15. Price: $11 Buy Sell 30, $10 50, $11 30, $12
- 19. Not Validated Validated Processed Validator Processor
- 21. Method Time in msec Single Thread 300 Single Thread w/ Lock 10.000 2 Threads w/ Lock 224.000 Single Thread w/ CAS 5.700 2 Threads w/ CAS 30.000 Single Thread w/ Volatile 4.700 Write http://disruptor.googlecode.com/files/Disruptor-1.0.pdf
- 22. Queue (Lack of)Fairness 50 Buy Sell 100 60 Consumer Consumer Thread 1 Thread 2
- 23. Queue (Lack of)Fairness Buy Sell 50 100 60 Consumer Consumer Thread 1 Thread 2
- 24. Queue (Lack of)Fairness Can you tell which order will be executed 1st? Buy Sell 100 60 50 Consumer Consumer Thread 1 Thread 2
- 25. Validator Processor
- 29. Processor thread poolper segment Symbol=A-H Symbol=I-S Symbol=T-Z Validator Processor Processor
- 30. Single Processor threadpool, pick random segment Symbol=A-H Symbol=I-S Symbol=T-Z Processor
- 33. Single processor threadper segment Symbol=A-H Symbol=I-S Symbol=T-Z Processor Processor Processor
- 34. Shared thread pool,mark segments under processing (CAS) Segment 1 Segment 2 Segment 3 Segment 1 Segment 2 Segment 3 Processor
- 35. Shared thread pool,mark segments under processing (CAS) Segment 1 Segment 2 Segment 3 Segment 1 X Segment 2 Segment 3 Processor
- 36. Shared thread pool,mark segments under processing (CAS) Segment 1 Segment 2 Segment 3 Segment 1 X Segment 2 Segment 3 X Processor
- 37. Shared thread pool,mark segments under processing (CAS) Segment 1 Segment 2 Segment 3 Segment 1 Segment 2 Segment 3 X Processor
- 39. Segments are createdand removed as needed Processor
- 40. Segments are createdand removed as needed “GOOG” “GOOG” Processor
- 41. Segments are createdand removed as needed “GOOG” “GOOG” Processor
- 42. Segments are createdand removed as needed “GOOG” “AAPL” GOOG AAPL Processor
- 43. Segments are createdand removed as needed “GOOG” “AAPL” “AMZN” GOOG X AAPL AMZN Processor
- 54.
Editor's Notes
- #4 Algorithmic and high frequency trading
- #10 Much more complicated than this example: Exchange vs Market maker / trader checking the target market is open to take orderschecking the order is valid for that marketchoosing the right matching policy for the type of ordersequencing the order so that each order is matched at the best possible price and matched with the right liquiditycreating and publicizing the trades made as a consequence of the matchupdating prices based on the new trades
- #11 Much more complicated than this example: Exchange vs Market maker / trader checking the target market is open to take orderschecking the order is valid for that marketchoosing the right matching policy for the type of ordersequencing the order so that each order is matched at the best possible price and matched with the right liquiditycreating and publicizing the trades made as a consequence of the matchupdating prices based on the new trades
- #12 Much more complicated than this example: Exchange vs Market maker / trader checking the target market is open to take orderschecking the order is valid for that marketchoosing the right matching policy for the type of ordersequencing the order so that each order is matched at the best possible price and matched with the right liquiditycreating and publicizing the trades made as a consequence of the matchupdating prices based on the new trades
- #13 Much more complicated than this example: Exchange vs Market maker / trader checking the target market is open to take orderschecking the order is valid for that marketchoosing the right matching policy for the type of ordersequencing the order so that each order is matched at the best possible price and matched with the right liquiditycreating and publicizing the trades made as a consequence of the matchupdating prices based on the new trades
- #14 Much more complicated than this example: Exchange vs Market maker / trader checking the target market is open to take orderschecking the order is valid for that marketchoosing the right matching policy for the type of ordersequencing the order so that each order is matched at the best possible price and matched with the right liquiditycreating and publicizing the trades made as a consequence of the matchupdating prices based on the new trades
- #15 Much more complicated than this example: Exchange vs Market maker / trader checking the target market is open to take orderschecking the order is valid for that marketchoosing the right matching policy for the type of ordersequencing the order so that each order is matched at the best possible price and matched with the right liquiditycreating and publicizing the trades made as a consequence of the matchupdating prices based on the new trades
- #16 Much more complicated than this example: Exchange vs Market maker / trader checking the target market is open to take orderschecking the order is valid for that marketchoosing the right matching policy for the type of ordersequencing the order so that each order is matched at the best possible price and matched with the right liquiditycreating and publicizing the trades made as a consequence of the matchupdating prices based on the new trades
- #19 Mechanical sympathy
- #20 Two principles – data with message, staged processing Locking with every write/takeMechanical sympathy
- #21 Mechanical sympathy
- #22 Mechanical sympathy
- #26 Two principles – data with message, staged processing Locking with every write/takeMechanical sympathy
- #27 Mechanical sympathy
- #28 Mechanical sympathy
- #29 Mechanical sympathy