This document discusses testing a High Frequency Trading Graphical User Interface (GUI). It notes that the GUI must be tested to handle over 1000 updates per second from the market data feed. It discusses challenges with manually testing at such high speeds. It proposes using automated techniques like hooking into the Windows graphics driver via Detours to intercept bitmap updates and analyze market data flows and orders. This allows testing the GUI reliably at high speeds without relying on human observation or slower capture/decode techniques. Questions about testing the HFT GUI are welcome.

1. Testing of HFT GUI
(High Frequency Trading Graphical User Interface)
How to test it…
EXTENT Conference
April 13, 2012, Kostroma, Russia

2. Trading Client
PRICE
Price SIZE SIDE

3. Human and machine view on the picture during HFT
>1000 updates per second
60Hz and 24 frame per sec >1000 updates per second
>100 M orders per day
60Hz and 24 frame per sec >100 M orders per day
So…

4. There is no way to check
manually

5. • Trading environment

7. • Read data from the GUI of application
• Terminal servers • Video card driver
• Windows controls • Hooks
No additional operations for Need a high speed storage device;
decoding data
Need to recognize useful
Do not guarantee the receipt of
information from bitmaps;
information on any interface;
High load on the CPU and Miss some parts of data;
memory
Applicable to all interfaces;
Fast and reliable

8. • Microsoft Detours
Detours is a library for instrumenting arbitrary Win32 functions on x86, x64, and IA64 machines.
Detours intercepts Win32 functions by rewriting the in-memory code for target functions.
The Detours package also contains utilities to attach arbitrary dynamic-link libraries (DLLs) and data
segments (called payloads) to any Win32 binary.
SetDIBitsForDevice function
http://research.microsoft.com/en-us/projects/detours/

9. • Our algorithm

10. • Comparison
Log file with
MD flow
Comparison
Orders
MD analyzer Books
Sequences
Orders
Batch Books
converter Sequences
Folder with
screens

11. • Feedback from real application testing

12. QUESTIONS ARE
WELCOME