end to end latency reduction in algorithmic trading
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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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Presentation Transcript
sources of algo trading latency
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
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

expanding to end to end architecture
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

accelerating guaranteed messaging
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
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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