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
V0.84

Wednesday, 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. 2


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.


Low Latency Trading

4


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



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.

May not be reproduced by any means without express permission. All rights reserved,


Solution

Lab49 Statistical Arbitrage Exchange-Traded Fund (ETF)
=
Solace Systems Messaging Middleware (Hardware)
+
Microsoft .NET TPL Dataflow Library (Software)



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



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



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
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



Demo - The Server

11


Demo - The Client

12


Single Dealer Platform
Building Scalable Distributed Systems

13


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



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.



Solution

Lab49 Foreign Exchange (FX) Single Dealer Platform (SDP)
=
Solace Systems Web Streaming (Hardware)
+
Paremus OSGi Service Fabric and Akka (Software)



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

May not be reproduced by e=any means without express permission. All rights reserved.


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



SDP Architecture
Internet
CCY Per ETF
Pair Per ETF
CCY
Pair
Asset Trade Signals
Asset Normal
Normal
isation
Assetisation Normal
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
isation
Assetisation Normal Streaming
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
19


Demo - Single Dealer Platform (Foreign Exchange)

20


Demo - Price Failover

21


Waters North American Trading Architecture Summit April 2011

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