Slide 1: High Volume Low Latency Transaction Processing
Presenters: Tony Harrop, CTO, LiquidityHub Jeremy Vickers, Technical Architect, Detica Date: 12th March Reference: QCon 2008
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Slide 2: Contents
Overview of LiquidityHub Key challenges Technology overview Outcome Lessons learned
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Slide 3: Overview
Current Situation
Interest Rate Swaps Manual process Multiple sources Trading mechanism risk on dealer
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Slide 4: Overview II
Current Market Environment
Introducing change in a volatile environment Change vs. execution confidence
'Market can find solution to sub prime debt crisis'
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Slide 5: Overview III
LiquidityHub Vision
Build platform that enables access to multiple sources Leverage existing distribution channels Platform must scale to include future products Offer Request for Stream with real time pricing More transparency, better pricing Enable STP, reduce costs
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Slide 6: Overview IV
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Slide 7: Key Challenges
Performance
Trade negotiation is time-sensitive, < 100 ms latency required Year one volume 20,000 msg/s scaling to 100,000 msg/s by year five.
Reliability
No loss of trade messages / transactions
Ease Of Integration
Dealers and Distributors
Availability
99.99%
Time To Market
Go Live Sept 2007 (9 months!)
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Slide 8: Key Challenges - Implementation
Technology partner needed to define and implement the solution:
Detica had a global team with a track record implementing high volume low latency systems Event Driven & Real Time Architecture expertise Dedicated Market Services business area Combined business and technology capability
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Slide 9: Technology – Functional Overview
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Slide 10: Technology – Pricing Example
Market Data (Composite Price) Dealers
(INVESTMENT BANKS)
Distributors
(REUTERS & BBG)
Gateway Tier
Quote Gateway Trade Gateway Market Data Gateway
Middleware Server
Middleware Tier
Middleware Server
Application Tier
Trade Services Admin Services Pricing Services Reporting Services
Data Tier
Database
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Slide 11: Technology - Products
Quote Gateway Cameron US BEA WLRT Middleware Server Fiorano JMS BEA WLRT
Gateway Tier
Trade Gateway
Market DataMDS Cameron Gateway BEA WLRT Middleware Server Fiorano JMS BEA WLRT
Middleware Tier
Application Tier
Trade Spring Services BEA WLRT Admin Spring Services BEA WLRT Pricing Spring Services BEA WLRT Reporting Spring Services BEA WLRT
Data Tier
Oracle RAC Database
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Slide 12: Technology – Hardware
Key
Cameron US/MDS FIX WLRT
HP DL360 Dual Core 2xCPU 3GHz 4GB RAM Trade & Quote Gateway Market Data Gateway HP DL580 Dual Core 4xCPU 3.4GHz 8GB RAM
FioranoMQ WLRT
Middleware
Spring WLRT
Trade Services
Pricing Services
Admin Services Reporting Services
Oracle RAC
Op/Trade Databases
Tick/Reporting Databases
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Slide 13: Technology – Product Performance
Cameron Universal Server & Market Data Server
FIX Servers FIX is a standard communications protocol within the Investment Banking domain but is flexible enough to be customised Cameron US/MDS can handle > 25,000 msg/s
Fiorano MQ
Pure JMS Server Can handle > 80,000 non-persistent msg/s
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Slide 14: Technology – Product Performance
WebLogic Real Time provided a huge performance improvement compared to standard Sun JVM With -15ms latency Without - significantly > 100ms latency Underpinned key components in each tier FIX Gateway Servers JMS Servers Spring
Made Java solution a feasible and good choice for this system. System handling ~ 25,000 msg/s with 95th percentile latency ~15ms
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Slide 15: Performance Monitoring
JMX Monitoring Framework
Gateway Tier
Monitoring Web App Quote Gateway MBean Trade Gateway MBean Market Data Gateway MBean
Middleware Server
Middleware Tier Application Tier
Middleware Server
Trade Services MBean
Admin Services MBean
Reporting Services
Pricing Services MBean
Data Tier
Database
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Slide 16: Performance Monitoring
Administration Application provides detailed statistics on: Latency Per message type Per component if required Throughput Server/Service Status Provides an easily understandable dashboard for LiquidityHub staff.
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Slide 17: Outcome
Designed, built and delivered the system in 9 months. System meets year 1 peak performance targets Current latency figures 4 – 8ms System can scale to much higher message volumes Phase 4 currently in progress
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Slide 18: Lessons Learned
Create more testing tools Distributor GUI test harness Log search & view Early prototyping helped de-risk the architecture Consider virtualization Managing 17 organisations is not easy! Weekly tech forums worked well
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Slide 19: Questions?
Tony Harrop
Chief Technology Officer Li
1 Liverpool Street 2nd Floor, Suite 226 London EC2M 7QD Tel: +44 (207) 956 2608 Mob: +44 (7771) 623808 Email: tharrop@liquidityhub.com
Jeremy Vickers
Technical Architect Detica
Peninsular House 30-36 Monument Street London EC3R 8LJ Tel: +44 (207) 812 4881 Mob: +44 (7740) 923287 Email: jeremy.vickers@detica.com
This presentation and its contents is confidential, may be legally privileged and is intended solely for the use of the individual or entity to whom it is addressed. Information contained herein is the sole property of LiquidityHub. Unauthorised disclosure, copying or distribution of such information is strictly prohibited and the recipient shall not redistribute it in any form to a third party.
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