Trading infrastructure that’s joined at the hip

Today we unveiled some interesting work we’ve been doing with Redline Trading to show the consolidation of their InRush ticker plant with the Solace message distribution layer for a wide range of market data delivery use cases.

Redline’s solution is a hybrid of software and hardware that is typically installed within a server to accelerate the various functions performed within a ticker plant. These includes everything you’d expect from a ticker plant: feed handling, order and price book functionality, even last value cache. Redline is fast, too — all of this takes place in an average of 8 microseconds for up to 10 million market data updates per second, with the kind of consistency you expect from a hardware-accelerated solution.

Our appliance picks up where a feed handler leaves off, reliably moving market data from feed to application whether that application is on the same machine, over a network or across the world.

So what makes the combination of Solace and Redline a match made in vendor heaven? There are two key scenarios:

• Co-location algo in a box — This is a configuration where Redline’s ticker plant is installed in a server alongside Solace’s API running as an IPC. Solace’s shared memory IPC protocol is specifically designed to distribute data at millions of messages per second between cores in a multi-CPU, multi-core environment with just a few hundred nanoseconds of latency. Together, Solace and Redline give applications full messaging functionality for high volume feeds with under 10 microseconds of latency.
• Single box market data distribution — In this configuration, Redline’s ticker plant is installed directly in the Solace message router, allowing fast and efficient handoff from Redline to Solace over the router’s internal bus instead of over the network. This enables lowers latency than having two separate boxes, and simplifies configuration and deployments.

The latter use case is much more common. High frequency trading and co-location get all the headlines, but market data is used virtually everywhere, far beyond high-frequency algos.

Cost considerations lead most firms to receive data through a shared feed handler, and use messaging to distribute it to algo machines, other trading applications, human traders, back office systems and remote locations.  Solace’s messaging uses the most efficient means to get the data from the feed handler to where it is needed:

• using IPC if the application is running on another CPU or core of the same machine,
• using hardware filtering and unicast to send the LAN application only what is needed,
• or using hardware filtering and compression over a WAN.

The Solace appliance automatically adjusts for each recipient’s configuration without the nightmare of configuring and managing multicast on the LAN or bridging out of multicast for WAN connectivity. There are so many ways the distribution use case can save people time, effort and money.

We look forward to working with Redline to make this consolidation of components 2010’s must have low latency trading solution.