Информационные системы и технологическая инфраструктура

биржевой торговли

Разработка и тестирование для высоконагруженных трейдинговых систем

Main Technology and libraries:

• server, data processing, distributed systems

• java, c++, c#, javascript, Perl, bash

• Linux, Windows

• winapi, posix

• FPGA, System Verilog

Business Areas:

• Test Automation and Verification Tools

• Markets and Post Trade Simulators

• Monitoring and surveillance for trading

systems and exchanges

• Trading and Brokerage Front End Systems

• Algo Trading and Market Data

• Trading and Market Data gateways

Methodologies:

• agile, scrum, DevOps

• rapid delivery to end users

• continuous integration

Instruments:

• git, svn

• eclipse, visual studio

• Jenkins

• visual vm, valgrind

Web: html5, AJAX, JSF, ExtJS, JQuery, Tomcat, Play Framework

Distributed: Tibco RV, UMQ, ZeroMQ, RabbitMQ, akka, Boost Asio

DB: MySql, Postgres, Oracle DB, LevelDB, Hibernate

Communication protocols and APIs: FIX, ITCH, Reuters Foundation API, QuantHouse

ClearTH:

• Post-Trade testing tool• Verifies each stage of the DLC• Integrated schedule• Automated matrices• Can create multiple days test

scenarios• Concurrent multiple tests• Integrated simulators• SWIFT ISO protocol support

Minirobots:

• Executes multithreaded java code• Complexity of test algorithms is defined by

the test developer• Supports multiple client fix connections, order

entry and market data via FIX• Can use GUI to iterate through sent and

received messages

Dolphin:

• Model-based testing of market surveillance systems

• Production-scale capacity and throughput• Interactive real-time alerts and reports

Shsha:

• Post-transactional tool• Analyzes clients' activity and forecasts system

response • Parses and displays logs in a user-friendly way• Parses messages and then puts each to a data

base table where each column corresponds to each message field

• Allows making summarized reports, etc• Easy to understand GUI

Load Injector:

• Simulates multiple client connections with a specified load shape for each connection or a group of connections

• Up to 75K messages / second from a single CPU core• Measures latencies in microsecond range• Performance test reports

Sailfish:

• Can test Order Entry, Market Data and Post Trade connections in one test scenario

• Each test scenario is independent• Allows running test scripts in any sequence• Simulation of multiple user connections• Server simulators• All messages are stored into a data base• Generates test reports

Командировки

Информационные системы и технологическая инфраструктура

биржевой торговли

Фондовая биржа – уникальная технологическая система

• 100 – 200 m заявок в день

• 50 k заявок в секунду

• Трехзначное количество серверов в

ЦОД

• Миллисекундные всплески

• Время отклика порядка 100 uS

• 100 – 200 m заявок в день

• 50 k заявок в секунду

• Трехзначное количество серверов в

ЦОД

• Миллисекундные всплески

• Время отклика порядка 100 uS

Свет идет из Саратова в Москву в 24 раза дольшеСамолет успевает пролететь 2.5 сантиметраМгновение ока длится в 3000 раз дольше

Фондовая биржа – уникальная технологическая система

• 100 – 200 m заявок в день• 50 k заявок в секунду• Трехзначное количество серверов в

ЦОД• Миллисекундные всплески• Время отклика порядка 100 uS

Одна секунда – 5 метров

Сутки – 20 километров

Миллисекунда – 25 сантиметров

Фондовая биржа – уникальная технологическая система

Компоненты биржевой системы

Ускорение

• Убрать все лишнее с пути заявки• Не освобождать память• Максимально простой внутренний протокол• Привязать потоки к ядрам процессора• Посылать сообщения одновременно нескольким

получателям

Аппаратные методы

• Infiniband• GPU• Overclocking• FPGA• TOE

Отказоустойчивость

• Дублировать все компоненты

• Разносить компоненты по разным серверам

• Асинхронная запись информации для восстановления

Масштабирование

• Инструменты

• Участники

Базы данных

• Убрать все лишнее с пути заявки

• Асинхронная запись информации для восстановления

Mizuho Securities

12 October 2005, Tokyo

Attempts to sell a single J-Com stock for 610,000 Yen ($5,041)Mistakenly price and quantity were swapped

Risk systems failure:• Mizuho Securities• Tokyo Stock Exchange

Estimated loss $225 millions

This type of errors is called Fat Finger

Nasdaq & ABN Amro

18 September 2012, Stockholm

A trader had the intention of posting a sell order for 5,000 SKF B shares. Due to an input error with the Client, the order volume field was populated with a negative value (-5,000)

Instead of returning an error, the system converted the value into a random 9-digit figure - 294,962,296

The Sell Order corresponded to approximately 71 % of the total outstanding volume in the SKF B share. The Sell Order resulted in execution of 813,442 shares

Facebook IPO

18 May 2012, NASDAQ, One of the largest IPOs in history

• Secondary trading is preceded by a designate Display Only Period (DOP)

• Multi-component architecture that included Matching Engine, IPO Cross Application

and Execution Application

• At the end of the DOP, NASDAQ’s “IPO Cross Application” analyzes all of the buy and

sell orders to determine the price at which the largest number of shares will trade; then

NASDAQ’s matching engine matches the buy and sell orders at that price. Usually

takes 1-2 ms

• NASDAQ allowed orders to be cancelled at any time up until the end of the DOP,

including the very brief interval during which the IPO cross price is calculated. After

calculation was completed, the system performed orders validation check between ME

and “IPO Cross Application”. If any of the orders were cancelled after the start of the

cross, the system would have to repeat the calculation

Facebook IPO

• Over 496k orders participated in the cross, and its duration exceeded 20ms

• Order cancellation arrived during this period, and the application had to repeat the

calculation. Two more cancellations arrived during the second iteration, and four

more - during the third one

• IPO Cross Application went into infinite loop at 11:05

• The NASDAQ team switched off validation check on the secondary system and

performed failover 25 minutes after the start of the loop

• Unknown at that moment, 38k orders submitted between 11:11 and 11:30 were stuck

and did not participate in the uncross. It created another discrepancy, this time with

Execution App and Members who were not able to receive confirmation for orders

executed in the cross until 13:50

Facebook IPO

Facebook IPO

Facebook IPO

Knight Capital

1 August 2012, New York

• Knight Capital – one of the most successful HFT firms

• Implemented changes related to Retail Liquidity Program at NYSE

• SMARS – an ultra-fast order router

• Source code responsible for legacy functionality PowerPeg

• 212 parent orders, millions child orders

• Accumulated loss – $460m or $170k/sec

• Incorrectly configured risk systems

• Deployment on 7 servers instead of 8…

Knight Capital

Knight Capital

Knight Capital

http://www.tmpaconf.org

Научно-исследовательская работа

Спасибо

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+7 (8452) 338-908 http://www.exactpro.com