Мастер класс: Информационные системы и технологическая инфраструктура биржевой торговли, Саратовский государственный технический университет имени Гагарина Ю.А., 23 апреля 2015 Иосиф Иткин, Exactpro Systems exactpro.com

1. Информационные системы и
технологическая инфраструктура
биржевой торговли

3. Разработка и тестирование для
высоконагруженных трейдинговых систем

7. Main Technology and libraries:
• server, data processing, distributed systems
• java, c++, c#, javascript, Perl, bash
• Linux, Windows
• winapi, posix
• FPGA, System Verilog
Business Areas:
• Test Automation and Verification Tools
• Markets and Post Trade Simulators
• Monitoring and surveillance for trading
systems and exchanges
• Trading and Brokerage Front End Systems
• Algo Trading and Market Data
• Trading and Market Data gateways
Methodologies:
• agile, scrum, DevOps
• rapid delivery to end users
• continuous integration
Instruments:
• git, svn
• eclipse, visual studio
• Jenkins
• visual vm, valgrind
Web: html5, AJAX, JSF, ExtJS, JQuery, Tomcat, Play Framework
Distributed: Tibco RV, UMQ, ZeroMQ, RabbitMQ, akka, Boost Asio
DB: MySql, Postgres, Oracle DB, LevelDB, Hibernate
Communication protocols and APIs: FIX, ITCH, Reuters Foundation API, QuantHouse

8. ClearTH:
• Post-Trade testing tool
• Verifies each stage of the DLC
• Integrated schedule
• Automated matrices
• Can create multiple days test
scenarios
• Concurrent multiple tests
• Integrated simulators
• SWIFT ISO protocol support
Minirobots:
• Executes multithreaded java code
• Complexity of test algorithms is defined by
the test developer
• Supports multiple client fix connections, order
entry and market data via FIX
• Can use GUI to iterate through sent and
received messages
Dolphin:
• Model-based testing of market
surveillance systems
• Production-scale capacity and throughput
• Interactive real-time alerts and reports
Shsha:
• Post-transactional tool
• Analyzes clients' activity and forecasts system
response
• Parses and displays logs in a user-friendly way
• Parses messages and then puts each to a data
base table where each column corresponds to
each message field
• Allows making summarized reports, etc
• Easy to understand GUI
Load Injector:
• Simulates multiple client connections with a specified load shape for each
connection or a group of connections
• Up to 75K messages / second from a single CPU core
• Measures latencies in microsecond range
• Performance test reports
Sailfish:
• Can test Order Entry, Market Data and Post Trade
connections in one test scenario
• Each test scenario is independent
• Allows running test scripts in any sequence
• Simulation of multiple user connections
• Server simulators
• All messages are stored into a data base
• Generates test reports

11. Командировки

13. Информационные системы и
технологическая инфраструктура
биржевой торговли

14. Фондовая биржа – уникальная
технологическая система
• 100 – 200 m заявок в день
• 50 k заявок в секунду
• Трехзначное количество серверов в
ЦОД
• Миллисекундные всплески
• Время отклика порядка 100 uS

15. • 100 – 200 m заявок в день
• 50 k заявок в секунду
• Трехзначное количество серверов в
ЦОД
• Миллисекундные всплески
• Время отклика порядка 100 uS
Свет идет из Саратова в Москву в 24 раза дольше
Самолет успевает пролететь 2.5 сантиметра
Мгновение ока длится в 3000 раз дольше
Фондовая биржа – уникальная
технологическая система

16. • 100 – 200 m заявок в день
• 50 k заявок в секунду
• Трехзначное количество серверов в
ЦОД
• Миллисекундные всплески
• Время отклика порядка 100 uS
Одна секунда – 5 метров
Сутки – 20 километров
Миллисекунда – 25 сантиметров
Фондовая биржа – уникальная
технологическая система

17. Компоненты биржевой системы

18. Ускорение
• Убрать все лишнее с пути заявки
• Не освобождать память
• Максимально простой внутренний протокол
• Привязать потоки к ядрам процессора
• Посылать сообщения одновременно нескольким
получателям
Аппаратные методы
• Infiniband
• GPU
• Overclocking
• FPGA
• TOE

19. Отказоустойчивость
• Дублировать все компоненты
• Разносить компоненты по разным серверам
• Асинхронная запись информации для восстановления
Масштабирование
• Инструменты
• Участники

20. Базы данных
• Убрать все лишнее с пути заявки
• Асинхронная запись информации для восстановления

21. Mizuho Securities
12 October 2005, Tokyo
Attempts to sell a single J-Com stock for 610,000 Yen ($5,041)
Mistakenly price and quantity were swapped
Risk systems failure:
• Mizuho Securities
• Tokyo Stock Exchange
Estimated loss $225 millions
This type of errors is called Fat Finger

22. Nasdaq & ABN Amro
18 September 2012, Stockholm
A trader had the intention of posting a sell order for 5,000 SKF B shares.
Due to an input error with the Client, the order volume field was populated
with a negative value (-5,000)
Instead of returning an error, the system converted the value into a random
9-digit figure - 294,962,296
The Sell Order corresponded to approximately 71 % of the total outstanding
volume in the SKF B share. The Sell Order resulted in execution of
813,442 shares

23. Facebook IPO

24. 18 May 2012, NASDAQ, One of the largest IPOs in history
• Secondary trading is preceded by a designate Display Only Period (DOP)
• Multi-component architecture that included Matching Engine, IPO Cross Application
and Execution Application
• At the end of the DOP, NASDAQ’s “IPO Cross Application” analyzes all of the buy and
sell orders to determine the price at which the largest number of shares will trade; then
NASDAQ’s matching engine matches the buy and sell orders at that price. Usually
takes 1-2 ms
• NASDAQ allowed orders to be cancelled at any time up until the end of the DOP,
including the very brief interval during which the IPO cross price is calculated. After
calculation was completed, the system performed orders validation check between ME
and “IPO Cross Application”. If any of the orders were cancelled after the start of the
cross, the system would have to repeat the calculation
Facebook IPO

25. • Over 496k orders participated in the cross, and its duration exceeded 20ms
• Order cancellation arrived during this period, and the application had to repeat the
calculation. Two more cancellations arrived during the second iteration, and four
more - during the third one
• IPO Cross Application went into infinite loop at 11:05
• The NASDAQ team switched off validation check on the secondary system and
performed failover 25 minutes after the start of the loop
• Unknown at that moment, 38k orders submitted between 11:11 and 11:30 were stuck
and did not participate in the uncross. It created another discrepancy, this time with
Execution App and Members who were not able to receive confirmation for orders
executed in the cross until 13:50
Facebook IPO

26. Facebook IPO

27. Facebook IPO

28. Knight Capital

29. 1 August 2012, New York
• Knight Capital – one of the most successful HFT firms
• Implemented changes related to Retail Liquidity Program at NYSE
• SMARS – an ultra-fast order router
• Source code responsible for legacy functionality PowerPeg
• 212 parent orders, millions child orders
• Accumulated loss – $460m or $170k/sec
• Incorrectly configured risk systems
• Deployment on 7 servers instead of 8…
Knight Capital

30. Knight Capital

31. Knight Capital

32. http://www.tmpaconf.org
Научно-исследовательская работа

33. Спасибо
Офис 401, 38/114, БЦ Ковчег
ул. Вавилова
+7 (8452) 338-908
http://www.exactpro.com