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End-to End Latency Reduction in Algorithmic Trading PowerPoint PPT Presentation


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End-to End Latency Reduction in Algorithmic Trading. Floyd Davis. Sources of Algo Trading Latency. Sources of Latency. Feeds. Feed handler/ticker plant Messaging API Network stack Ethernet switch Messaging middleware (server) Algorithm performance Transition to order execution. 1. 2.

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End-to End Latency Reduction in Algorithmic Trading

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End to end latency reduction in algorithmic trading l.jpg

End-to End Latency Reduction in Algorithmic Trading

Floyd Davis


Sources of algo trading latency l.jpg

Sources of Algo Trading Latency

Sources of Latency

Feeds

Feed handler/ticker plant

Messaging API

Network stack

Ethernet switch

Messaging middleware (server)

Algorithm performance

Transition to order execution

1

2

3

Feed

Handlers

1

4

2

3

5

3

6

Ethernet

Switch

5

Messaging

Server

4

7

Other Latency Issues

3

2

  • High volumes:

  • Jitter

  • Context switching

  • Network I/O

Algo

Engines

6

7

Orders for Execution

  • Physical distance:

  • Speed of light

2

CONFIDENTIAL

CONFIDENTIAL


Accelerating ultra low latency market data distribution l.jpg

Accelerating Ultra-low LatencyMarket Data Distribution

+

+

100% hardware data path for market data distribution

500k msgs/sec31 µsecs mean latency47 µsecs99.9th percentile

1 million msgs/sec35 µsecs mean latency55 µsecs99.9th percentile

NetEffectTCP OffloadEngine

AristaDatacenterSwitch

SolaceMessagingAppliance

3

CONFIDENTIAL

CONFIDENTIAL


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Expanding to End-to-end Architecture

Feeds

Working closely with hardware ticker plant providers

Accelerating order execution handoff with hardware-based guaranteed messaging

HardwareTickerPlant

AristaDatacenterSwitch

SolaceMessagingAppliance

TCPOffloadEngines

LowLatencyOrderRouting

Orders

4

CONFIDENTIAL

CONFIDENTIAL


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Accelerating Guaranteed Messaging

Max throughputup over 30%from 100,000 messages/secto 130,000/sec

  • Latency down 15-30% across all tests

STAC Research Report; July 8, 2008

6 Months Later…

5

CONFIDENTIAL

CONFIDENTIAL


Partnership tibco messaging appliance l.jpg

Partnership: TIBCO Messaging Appliance

Solace supplies the hardware for the TIBCO Messaging Appliance

Embeds TIBCO Rendezvous® in hardware

Now shipping

in production!

  • Better for TIBCO RV customers:

    • Supports existing RV apps with no changes

    • Many times throughput increase

    • Ultra-low latency

    • Dramatically simplified operations

    • Minimum 10 to 1 server reduction ratio

6

CONFIDENTIAL

CONFIDENTIAL


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Ralph Frankel – Chief Technology Officer

[email protected]


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