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Introduction Kevin has over 20 years experience of working within - PowerPoint PPT Presentation

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Introduction Kevin has over 20 years experience of working within financial markets technology including Robert Fleming, LSE, Salomon Brothers and HSBC. Kevin helped to establish the FIX protocol in Europe. His first FIX engine was given away

  1. Introduction Kevin has over 20 year’s experience of working within financial markets technology including Robert Fleming, LSE, Salomon Brothers and HSBC. Kevin helped to establish the FIX protocol in Europe. His first FIX engine was given away as a learning aid that helped many enterprises further their knowledge of FIX. Kevin is the designer of the FIX Repository for FIX Protocol Limited, Co-chairs the Global Technical Committee, and is an active member of the Global Steering Committee. He is the lead Expert Group member, UK Government Foresight Committee looking at the Future of Computer Based Trading. Rupert Smith is a Java programmer, who started out tinkering at the low-level end of things; Assembler and C. He first worked on messaging software as a contributor to the Apache Qpid implementation of AMQP. He is currently working for Rapid Addition which, with its low-latency focus, is a fertile place to mix ideas from his background. He studied Computer Science at Cambridge University and maintains an interest in compiler development, particularly for logic based languages. His main hobbies are camping and nature conservation.

  2. Introduction Rationale Origin Road to Gen Zero Details

  3. Box Trade - $100 USD/EUR = 1.3158 Ignoring spreads, commissions and transaction costs EUR/GBP = 1.1875 USD/GBP = 1.5625 USD EUR GBP 1 100

  4. Box Trade - $100 USD/EUR = 1.3158 EUR/GBP = 1.1875 USD/GBP = 1.5625 USD EUR GBP 1 2 2 100 76 100

  5. Box Trade - $100 USD/EUR = 1.3158 EUR/GBP = 1.1875 USD/GBP = 1.5625 USD EUR GBP 1 2 2 3 3 100 76 100 76 64

  6. Box Trade - $100 USD/EUR = 1.3158 Profit = $1 EUR/GBP = 1.1875 USD/GBP = 1.5625 USD EUR GBP 1 2 2 3 3 4 100 76 100 76 64 64 4 101

  7. Origin Wrote a repository driven engine initially used with BizTalk What is the repository? Looked a code generation to improve Already one of the fastest engines around GC identified as major hurdle .Net initiative to remove

  8. Latency vs Load and Throughput vs Load Latency Throughput max throughput min latency Load Load saturation point saturation point If you want good latency , you must have excess capacity .

  9. Distribution of Latencies Cumulative Distribution Function 100% Distribution Density Function 0% baseline Lower the baseline. Tighten the tail.

  10. The 'Algo' Trading Test fix0_n Market Data and Executions fix1_n Orders Algo box TipOff box Tap Timetamp first bit (+ constant delay) MD box Latency = T2 - T1 = (T2 + C) - (T1 + C) Switch Exchg box 1001.000 -> BUY 1 1002.000 -> BUY 2 ... Why? 1001.001 5 'stocks' ... 5 ticks/cycle Order and Exec Report can be matched 1001.005 up by Client Order Id. ------------------------- Market Data and Order have no built in 2001.000 -> BUY 1 correlation. ...

  11. End to End Time Budget 1G on 2.8 GHz Nehalem, built in NIC 2.5 2.5 1 14 2 5 3 2 1 2.5 Serialize DMA DMA TCP TCP Eth NIC NIC Eth Interrupt Deserialize 1G on 2.8 GHz, SolarFlare and 'open onload' 2.5 2.5 1 1 5 3 2.5 1 1 e z TCP DMA DMA TCP i l Eth a Eth NIC NIC Deserialize i r e S

  12. Jitter and Garbage Free Code JavaWorld article on Javolution http://tinyurl.com/69m7xz Compute FFT of Complex numbers. Requires lot of intermediate values; a source of garbage. Genzero Rules: 1) Actively manage any resources used in program, object pools etc 2) Start up – GC permitted 3) No GC in steady state phase of program

  13. FIX is ASCII 8=FIX.4.2 | 9=192 | 35=X | 49=FEED | 56=ALGO | 34=7 | 52=20120308-00:51:52.303 | 262=subscribe:A000 | 268=2 | 279=1 | 269=1 | 278=23 | 55=A000 | 270=0.001 | 271=1000 | 346=1 | 290=1 | 279=1 | 269=0 | 278=24 | 55=A000 | 270=0.101 | 271=1000 | 346=1 | 290=1 | 10=186 | Subtract ASCII '0' Divide by 10, take modulo. Multiply by 10 Add ASCII '0' Avoid using java.lang.String for string processing.

  14. Zero Copy I/O, how real is it? JVM Heap Buffer Direct Buffer User write() readv() writev() read() Kernel Socket Buffer TCP Packets NIC NIC Java nio provides API for zero-copy vectored I/O. There may be copying. Access to byte[] vs getByte()/setByte().

  15. SolarFlare Effect of 'onload' (polling)

  16. RA Cheetah vs QuickFixJ GenZero programming differences: Experience tells on calls to avoid etc More tests Longer testing period, effectively soak tests, a 30 second test will not show up GC that happens every 120

  17. Intel Testing, 10G SolarFlare and Dell Everest

  18. FIX Engine Overview MessageBuilder TagValueVisitor ReceiveHandler SendHandler Deserializer Serializer releaseBuffer() getBuffer() getBuffer() releaseBuffer() SocketsHandler

  19. FIX Engine - With Internal Queues MessageBuilder TagValueVisitor SendHandler ReceiveHandler allocate seq no. allocate buffer position Serializer Deserializer chunk messages by length allocate local seq no. SocketsHandler

  20. FIX Engine - With Hardware Implementation MessageBuilder TagValueVisitor ReceiveHandler SendHandler DMA DMA FPGA Card DMA Engine FIX Core TCP Stack

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