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Stuff I Learned About Performance

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Michael Barker

The document discusses several topics related to software performance including: - The importance of understanding system behavior in detail rather than oversimplifying - How design must consider trade-offs - Techniques for improving performance such as using event sourcing architectures and leveraging vector instructions The key lessons are to understand problems fully before proposing solutions, design systems that allow flexibility in trade-offs, and measure performance carefully considering all relevant details.

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learned Stuff I’ve learnt about software performance @mikeb2701
• What is a financial exchange? • How to lie with numbers • Design is (almost) everything • Everything else is about making trade-offs
TL;DR 1. Low Latency 2. ??? 3. Profit
Lies, Damed Lies and Performance Numbers
320μs @ 10,000 tx/s
Customer Fix Gateway Load Balancer Execution Venue Record Latency Parse/Encode FIX Order Matching Replication Journalling
320μs @ 10,000 tx/s
320μs @ 10,000 tx/s
http://www.infoq.com/presentations/latency-pitfalls
What did I learn • Detail Matters • Don’t oversimplify the behaviour of your system
If we can really understand the problem, the answer will come out of it, because the answer is not separate from the problem. ! - Jiddu Krishnamurti
Customer Fix Gateway Load Balancer Execution Venue Record Latency Parse/Encode FIX Order Matching Replication Journalling
Instruction Execution Report Execution Venue OrderBook Order Execution
Execution Venue CreateOrderBook <Admin Instruction> instrument: Carrots
Execution Venue OrderBook <Entity> instrument: Carrots CreateOrderBook <Admin Instruction> instrument: Carrots
PlaceOrder <Instruction> id : ABC instrument: Carrots price : 110 quantity : 5 side : BID Execution Venue OrderBook <Entity> instrument: Carrots
PlaceOrder <Instruction> id : ABC instrument: Carrots price : 110 quantity : 5 side : BID Execution Venue OrderBook <Entity> instrument: Carrots Order <Entity> orderId : 1 id : ABC price : 110 quantity : 5 side : BID filled : 0 cancelled : 0
PlaceOrder <Instruction> id : ABC instrument: Carrots price : 110 quantity : 5 side : BID Execution Venue OrderBook <Entity> instrument: Carrots Order <Entity> orderId : 1 id : ABC price : 110 quantity : 5 side : BID filled : 0 cancelled : 0 Accept <ExecutionReport> id : ABC LiquidityAdded <ExecutionReport> instrument: Carrots price : 110 quantity : 5
Execution Venue OrderBook <Entity> instrument: Carrots Order <Entity> orderId : 1 id : ABC price : 110 quantity : 5 side : BID filled : 0 cancelled : 0 CancelOrder <Instruction> originalId: ABC
Execution Venue OrderBook <Entity> instrument: Carrots CancelOrder <Instruction> originalId: ABC Cancelled <ExecutionReport> id : ABC instrument: Carrots price : 110 quantity : 5 Order <Entity> orderId : 1 id : ABC price : 110 quantity : 5 side : BID filled : 0 cancelled : 5
Execution Venue OrderBook <Entity> instrument: Carrots CancelOrder <Instruction> originalId: ABC Cancelled <ExecutionReport> id : ABC instrument: Carrots price : 110 quantity : 5
Execution Venue OrderBook <Entity> instrument: Carrots Order <Entity> orderId : 1 id : ABC price : 110 quantity : 5 side : BID filled : 0 cancelled : 0 PlaceOrder <Instruction> id : DEF instrument: Carrots price : 110 quantity : 5 side : ASK
Execution Venue OrderBook <Entity> instrument: Carrots PlaceOrder <Instruction> id : DEF instrument: Carrots price : 110 quantity : 5 side : ASK Accept <ExecutionReport> id : DEF Trade <ExecutionReport> price : 110 quantity : 5 aggressive: DEF passive : ABC Order <Entity> orderId : 1 id : ABC price : 110 quantity : 5 side : BID filled : 5 cancelled : 0
Execution Venue OrderBook <Entity> instrument: Carrots PlaceOrder <Instruction> id : DEF instrument: Carrots price : 110 quantity : 5 side : ASK Accept <ExecutionReport> id : DEF Trade <ExecutionReport> price : 110 quantity : 5 aggressive: DEF passive : ABC
Execution Venue OrderBook <Entity> instrument: Carrots PlaceOrder <Instruction> id : ABC instrument: Bananas price : 110 quantity : 5 side : BID
Execution Venue OrderBook <Entity> instrument: Carrots PlaceOrder <Instruction> id : ABC instrument: Bananas price : 110 quantity : 5 side : BID Reject <ExecutionReport> id : ABC
Interesting Properties • Stable working set • Fits in memory • Doesn’t not grow monotonically with time • All decisions are made from local information
Event-Sourced Service Journalling Replication Business Logic Message Message http://www.infoq.com/presentations/Event-Sourced-Architectures-for-High-Availability
What did I learn • Enough understanding of the problem and solutions will appear • Pay attention to: • Entity Life-cycles • Number of entities - in real world scenarios • Try to approach the problem without bias
If you can’t talk about the downside and the trade offs then you’re just a fan person waiving a coffee mug around. That type of behaviour really doesn’t benefit anyone. ! - Some guy on the Internet (charmalloc) Source: http://allthingshadoop.com/2013/12/06/technology-decisions-are-about-trade-offs-and-solving-problems/
Customer Fix Gateway Load Balancer 10K msg/sec Execution Venue Market Data Service 160K msg/sec
Design for trade-offs
TIMESTAMP,BID_PRICE_1,BID_QTY_1,ASK_PRICE_1,ASK_QTY_1 1405890300827,1.35263,50,1.35296,50 1405890300908,1.35263,50,1.35296,49.9 1405890300909,1.35263,50,1.35296,47.9 1405890301090,1.35263,48.2,1.35296,47.9 1405890301193,1.35263,48.2,1.35296,46.1 1405890301194,1.35263,48.2,1.35296,44.6 1405890301280,1.35263,48.2,1.35296,42.6 1405890301571,1.35263,48.1,1.35296,42.6 1405890303037,1.35263,47.1,1.35296,42.6
List<String[]> lines = ! parseAsList("data.csv");! for (String[] line : lines)! {! double bid = parseDouble(line[1]);! double ask = parseDouble(line[3]);! ! // Stuff...! }!
Iterable<String[]> lines = ! parseAsIterable("data.csv");! for (String[] line : lines)! {! double bid = parseDouble(line[1]);! double ask = parseDouble(line[3]);! ! // Stuff...! }!
public interface CsvObservable! {! default void onError(Exception e)! {! }! ! default void onComplete()! {! }! ! void onEvent(! int row, int column, ! CharSequence value, boolean endOfLine);! }
parse("data.csv", ! (row, column, value, endOfLine) ->! {! switch (column)! {! case 1:! bid = parseDouble(value);! case 3:! ask = parseDouble(value);! }! ! // Stuff...! });
Ops/sec GC Count GC Time (ms) Iterable 8.20 104 154 Observable 16.75 0 0
public class CsvObservableDelegate ! implements CsvObservable<CharSequence>! {! private CsvObservable<String> delegate;! ! public CsvObservableDelegate(CsvObservable<String> delegate)! {! this.delegate = delegate;! }! ! public void onEvent(! int row, int column, ! CharSequence value, boolean endOfLine)! {! delegate.onEvent(! row, column, value.toString(), endOfLine);! }! ! // Other delegate methods! }!
Garbage Collection Stallin’ your app since 1959
mean 95% 99% 99.99% JDK6 1.386 1.82 5.75 15.72 JDK7 1.44 1.79 11.75 20.66
Solutions •Don’t Generate Any • Use Zing (Azul Systems)
Why Use Java? (why not C/C++/..)
Source: https://software.intel.com/en-us/articles/introduction-to-intel-advanced-vector-extensions
public class Doubles ! { ! public static void sum(! double[] sum, ! double[] addendA, ! double[] addendB)! {! for (int i = 0; i < 0 + sum.length; i++)! {! sum[i] = addendA[i] + addendB[i];! }! }! }!
#include <immintrin.h>! ! void sum(double* c, double* a, double* b, int len)! {! __m256d rA_AVX, rB_AVX, rC_AVX;! ! for (int i = 0; i < len; i += 4)! {! rA_AVX = _mm256_load_pd(&a[i]);! rB_AVX = _mm256_load_pd(&b[i]);! rC_AVX = _mm256_add_pd(rA_AVX, rB_AVX);! _mm256_store_pd(&c[i], rC_AVX);! }! }!
More Java vs. C++ https://github.com/real-logic/simple-binary-encoding
What did I learn? • Details matter (performance measurement) • Let the problem define the solution • Design without bias • Understand the costs/benefits of trade-offs • Design to let others make trade-offs • Some trade-offs are not technical
Q&A
Links • Measuring Latency - http://goo.gl/6bllUP • Event Sourcing - http://goo.gl/VcZI7l • LMAX Architecture - http://goo.gl/UI5z0T • Source Code • http://github.com/mikeb01/qconsf2014

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Stuff I Learned About Performance

  • 1. learned Stuff I’ve learnt about software performance @mikeb2701
  • 2. • What is a financial exchange? • How to lie with numbers • Design is (almost) everything • Everything else is about making trade-offs
  • 3.
  • 4. TL;DR 1. Low Latency 2. ??? 3. Profit
  • 5. Lies, Damed Lies and Performance Numbers
  • 7. Customer Fix Gateway Load Balancer Execution Venue Record Latency Parse/Encode FIX Order Matching Replication Journalling
  • 9.
  • 12. What did I learn • Detail Matters • Don’t oversimplify the behaviour of your system
  • 13. If we can really understand the problem, the answer will come out of it, because the answer is not separate from the problem. ! - Jiddu Krishnamurti
  • 14. Customer Fix Gateway Load Balancer Execution Venue Record Latency Parse/Encode FIX Order Matching Replication Journalling
  • 15. Instruction Execution Report Execution Venue OrderBook Order Execution
  • 16. Execution Venue CreateOrderBook <Admin Instruction> instrument: Carrots
  • 17. Execution Venue OrderBook <Entity> instrument: Carrots CreateOrderBook <Admin Instruction> instrument: Carrots
  • 18. PlaceOrder <Instruction> id : ABC instrument: Carrots price : 110 quantity : 5 side : BID Execution Venue OrderBook <Entity> instrument: Carrots
  • 19. PlaceOrder <Instruction> id : ABC instrument: Carrots price : 110 quantity : 5 side : BID Execution Venue OrderBook <Entity> instrument: Carrots Order <Entity> orderId : 1 id : ABC price : 110 quantity : 5 side : BID filled : 0 cancelled : 0
  • 20. PlaceOrder <Instruction> id : ABC instrument: Carrots price : 110 quantity : 5 side : BID Execution Venue OrderBook <Entity> instrument: Carrots Order <Entity> orderId : 1 id : ABC price : 110 quantity : 5 side : BID filled : 0 cancelled : 0 Accept <ExecutionReport> id : ABC LiquidityAdded <ExecutionReport> instrument: Carrots price : 110 quantity : 5
  • 21. Execution Venue OrderBook <Entity> instrument: Carrots Order <Entity> orderId : 1 id : ABC price : 110 quantity : 5 side : BID filled : 0 cancelled : 0 CancelOrder <Instruction> originalId: ABC
  • 22. Execution Venue OrderBook <Entity> instrument: Carrots CancelOrder <Instruction> originalId: ABC Cancelled <ExecutionReport> id : ABC instrument: Carrots price : 110 quantity : 5 Order <Entity> orderId : 1 id : ABC price : 110 quantity : 5 side : BID filled : 0 cancelled : 5
  • 23. Execution Venue OrderBook <Entity> instrument: Carrots CancelOrder <Instruction> originalId: ABC Cancelled <ExecutionReport> id : ABC instrument: Carrots price : 110 quantity : 5
  • 24. Execution Venue OrderBook <Entity> instrument: Carrots Order <Entity> orderId : 1 id : ABC price : 110 quantity : 5 side : BID filled : 0 cancelled : 0 PlaceOrder <Instruction> id : DEF instrument: Carrots price : 110 quantity : 5 side : ASK
  • 25. Execution Venue OrderBook <Entity> instrument: Carrots PlaceOrder <Instruction> id : DEF instrument: Carrots price : 110 quantity : 5 side : ASK Accept <ExecutionReport> id : DEF Trade <ExecutionReport> price : 110 quantity : 5 aggressive: DEF passive : ABC Order <Entity> orderId : 1 id : ABC price : 110 quantity : 5 side : BID filled : 5 cancelled : 0
  • 26. Execution Venue OrderBook <Entity> instrument: Carrots PlaceOrder <Instruction> id : DEF instrument: Carrots price : 110 quantity : 5 side : ASK Accept <ExecutionReport> id : DEF Trade <ExecutionReport> price : 110 quantity : 5 aggressive: DEF passive : ABC
  • 27. Execution Venue OrderBook <Entity> instrument: Carrots PlaceOrder <Instruction> id : ABC instrument: Bananas price : 110 quantity : 5 side : BID
  • 28. Execution Venue OrderBook <Entity> instrument: Carrots PlaceOrder <Instruction> id : ABC instrument: Bananas price : 110 quantity : 5 side : BID Reject <ExecutionReport> id : ABC
  • 29. Interesting Properties • Stable working set • Fits in memory • Doesn’t not grow monotonically with time • All decisions are made from local information
  • 30. Event-Sourced Service Journalling Replication Business Logic Message Message http://www.infoq.com/presentations/Event-Sourced-Architectures-for-High-Availability
  • 31. What did I learn • Enough understanding of the problem and solutions will appear • Pay attention to: • Entity Life-cycles • Number of entities - in real world scenarios • Try to approach the problem without bias
  • 32. If you can’t talk about the downside and the trade offs then you’re just a fan person waiving a coffee mug around. That type of behaviour really doesn’t benefit anyone. ! - Some guy on the Internet (charmalloc) Source: http://allthingshadoop.com/2013/12/06/technology-decisions-are-about-trade-offs-and-solving-problems/
  • 33. Customer Fix Gateway Load Balancer 10K msg/sec Execution Venue Market Data Service 160K msg/sec
  • 35. TIMESTAMP,BID_PRICE_1,BID_QTY_1,ASK_PRICE_1,ASK_QTY_1 1405890300827,1.35263,50,1.35296,50 1405890300908,1.35263,50,1.35296,49.9 1405890300909,1.35263,50,1.35296,47.9 1405890301090,1.35263,48.2,1.35296,47.9 1405890301193,1.35263,48.2,1.35296,46.1 1405890301194,1.35263,48.2,1.35296,44.6 1405890301280,1.35263,48.2,1.35296,42.6 1405890301571,1.35263,48.1,1.35296,42.6 1405890303037,1.35263,47.1,1.35296,42.6
  • 36. List<String[]> lines = ! parseAsList("data.csv");! for (String[] line : lines)! {! double bid = parseDouble(line[1]);! double ask = parseDouble(line[3]);! ! // Stuff...! }!
  • 37. Iterable<String[]> lines = ! parseAsIterable("data.csv");! for (String[] line : lines)! {! double bid = parseDouble(line[1]);! double ask = parseDouble(line[3]);! ! // Stuff...! }!
  • 38. public interface CsvObservable! {! default void onError(Exception e)! {! }! ! default void onComplete()! {! }! ! void onEvent(! int row, int column, ! CharSequence value, boolean endOfLine);! }
  • 39. parse("data.csv", ! (row, column, value, endOfLine) ->! {! switch (column)! {! case 1:! bid = parseDouble(value);! case 3:! ask = parseDouble(value);! }! ! // Stuff...! });
  • 40. Ops/sec GC Count GC Time (ms) Iterable 8.20 104 154 Observable 16.75 0 0
  • 41. public class CsvObservableDelegate ! implements CsvObservable<CharSequence>! {! private CsvObservable<String> delegate;! ! public CsvObservableDelegate(CsvObservable<String> delegate)! {! this.delegate = delegate;! }! ! public void onEvent(! int row, int column, ! CharSequence value, boolean endOfLine)! {! delegate.onEvent(! row, column, value.toString(), endOfLine);! }! ! // Other delegate methods! }!
  • 42. Garbage Collection Stallin’ your app since 1959
  • 43.
  • 44.
  • 45. mean 95% 99% 99.99% JDK6 1.386 1.82 5.75 15.72 JDK7 1.44 1.79 11.75 20.66
  • 46. Solutions •Don’t Generate Any • Use Zing (Azul Systems)
  • 47. Why Use Java? (why not C/C++/..)
  • 49. public class Doubles ! { ! public static void sum(! double[] sum, ! double[] addendA, ! double[] addendB)! {! for (int i = 0; i < 0 + sum.length; i++)! {! sum[i] = addendA[i] + addendB[i];! }! }! }!
  • 50. #include <immintrin.h>! ! void sum(double* c, double* a, double* b, int len)! {! __m256d rA_AVX, rB_AVX, rC_AVX;! ! for (int i = 0; i < len; i += 4)! {! rA_AVX = _mm256_load_pd(&a[i]);! rB_AVX = _mm256_load_pd(&b[i]);! rC_AVX = _mm256_add_pd(rA_AVX, rB_AVX);! _mm256_store_pd(&c[i], rC_AVX);! }! }!
  • 51.
  • 52.
  • 53. More Java vs. C++ https://github.com/real-logic/simple-binary-encoding
  • 54. What did I learn? • Details matter (performance measurement) • Let the problem define the solution • Design without bias • Understand the costs/benefits of trade-offs • Design to let others make trade-offs • Some trade-offs are not technical
  • 55. Q&A
  • 56. Links • Measuring Latency - http://goo.gl/6bllUP • Event Sourcing - http://goo.gl/VcZI7l • LMAX Architecture - http://goo.gl/UI5z0T • Source Code • http://github.com/mikeb01/qconsf2014