Posts

Larry Neumann

Reason 3: Appliances deliver huge performance gains

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This is part 3 in a 10 part series: 10 reasons for the growth in middleware appliances. The series summarizes what we’ve learned from our clients about what they value in appliances and why they selected Solace.

So far I’ve talked about saving money and making life easier. The third leg in the stool of commonly recognized advantages of appliances is higher performance. There is no one definition for “kick-ass performance” – it has to be defined in context of some set of rules or objectives. Sprinter Usain Bolt is the fastest man in history over 100 and 200 meters, but at 400 meters the edge goes to Michael Johnston. And neither could hold a candle to Haile Gebrselassie in a marathon. Of course, any of these three elite athletes would be schooled playing one-on-one hoops against LeBron James.

General purpose-ness vs. performance

General purpose computers are remarkably flexible—you can use a high-end server (with the right OS and software) to run a powerful database, perform high-end 3-D modeling or execute real-time trade order management.… Read the rest

Larry Neumann

Evolving the Digital Nervous System

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iStock_000016682100XSmallMetaphors in enterprise architecture are a dime a dozen and I find that many of them just don’t work for me.  However, I have always liked the concept of the digital nervous system. Despite the term getting extensive use in Bill Gates’ 1999 book Business @ The Speed of Thought, it is unfortunate that the concept remains largely that – a concept – more than a decade later. The idea is that a digital nervous system is similar to a biological nervous system in that they both have multi-sensory inputs, intelligent filtering, the ability to correlate information in real time and can respond to those inputs. These parallels actually fit most closely with scientific and military use cases rather than big enterprise because they are more often about real-time telemetry used for sense and respond, or command and control.

For the past decade the United States (and other countries) have been building out an incredible variety and volume of electronic telemetry and sensors connected to global networks for:

  • Weather and climate analysis
  • Chemical/Biological/Radiation/Nuclear (CBRN) detection
  • Facial detection using video and still cameras
  • Suspicious activity recognition
  • Cyber security that surpasses the sophistication of the most advanced algorithmic trading operations

Using the metaphor, if the sensor networks are like the nerves of the human body, and the algorithms are the instincts and learned activities of the brain, then what we need are the systems that represent the body’s muscles.… Read the rest

Larry Neumann

Taking high frequency trading to warp speed

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Much has been written about algorithmic traders squeezing microseconds of latency out of their trading infrastructure, but latency obsessed high-frequency traders have sharpened their pencils and now talk nanoseconds. They can think in these speeds because they are running multiple applications, such as feed handlers and algo engine, on different cores of powerful multi-core servers so those applications can communicate using shared memory instead of over a network.

Architecturally, the applications work just like they would if they were sharing information across a network, just without the latency associated with that process. To get the data between applications running on the various cores, developers can either write their own IPC protocols or leverage messaging semantics but with inter-process communications (IPC) in place of network protocols.

2009: Introducing Solace IPC

In September 2009, we announced a shared-memory IPC protocol transport for our client-side API that provides inter-core messaging capability for high-frequency trading application developers.… Read the rest

PR

Solace Achieves Sub-400 Nanosecond Messaging Performance on Cisco Unified Computing System

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Test Results Show Latency as Low as 388 Nanoseconds and Throughput as High as 46.8 Million Messages per Second on a Single Cisco Server

OTTAWA, September 20, 2010 — Solace Systems today announced the completion of a series of performance tests using the Solace Unified Messaging Platform API on a single Cisco Unified Computing System C200-M2 server. When testing for low latency at high throughput between two cores within a single processor, the results show that Solace’s API delivered as many as 2.97 million messages per second with an average latency of 388 nanoseconds and a 99th percentile latency of 480 nanoseconds.

A second test utilizing all 12 cores of the same Cisco server in a six by six “full mesh” configuration showed that for 128 byte messages, a sustained total of 46.8 million messages per second were passed between publishers and subscribers within a single Cisco server. Full mesh means six cores were allocated to publishing applications that each “fanned out” or published messages to six subscribing applications on the remaining cores.… Read the rest

Larry Neumann

Turbo-charging the events in complex event processing

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When complex event processing was in its infancy around ten years ago, it felt like a byproduct of academia, which in fact it was. In the beginning, it was clearly a solution looking for a problem. Early products were more akin to proofs of concept than anything else.

A lot has changed, though, and CEP offerings have evolved into the equivalent of next generation app servers. Those early customer deployments of many years ago, along with years of refinement and optimization, have made CEP an essential piece of the financial application puzzle.

There are a lot of CEP engines out there, because each industry has unique types and patterns of events, and it takes considerable industry expertise to provide a solution that can make sense of them. So where one CEP provider may excel at government use cases, another may hire experts from health care and focus on that industry. In capital markets, the clear leader is StreamBase.… Read the rest

PR

StreamBase and Solace Systems Partner for Low Latency Trading Solutions

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NEW YORK CITY, June 22, 2010 — StreamBase today announced integration of its CEP platform with Solace Systems’ hardware-based middleware routing products. The combination of these technologies provides customers with a comprehensive solution for receiving, filtering and analyzing market data, news and other market inputs to improve real-time trading decisions and profits.

Solace’s hardware-based messaging filters and routes full market data feeds into narrowcast streams which can be directly fed to Streambase CEP engines for market data analysis and trade decision making. Solace and Streambase together provide a sophisticated platform for very low and consistent latency while enabling faster, more insightful trading and improved risk management across multiple asset classes – especially equities, options and FX.

“CEP is a well established and rapidly growing choice for capital markets architects dealing with algorithmic trading, risk management and compliance, ” said Shawn McAllister, CTO at Solace Systems. “By integrating with StreamBase, we are making it easier for our customers to add sophisticated event processing capabilities to their trading applications.”

“Market data management is the foundation for trading successfully in today’s capital markets, ” said Kevin McPartland, Senior Analyst at TABB Group.… Read the rest

Larry Neumann

Latency arbitrage: a tax credit for low latency traders

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Latency arbitrage is in the news again today, as the Wall Street Journal published a story titled Fast Traders’ New Edge. This “edge” is not exactly a “new” trading technique, or even a new story. It has been well chronicled over the last year in the press. In fact, the Journal published an article more than a year ago on precisely the same topic. But it is a popular topic, the equivalent of business tabloid news. There is no shortage of populist anger over Wall Street moneymaking tactics and it is easy to line up industry experts to sound off on the unfairness of it all.

The truth is that latency arbitrage is like any other kind of arbitrage. From Wikipedia:

In economics and finance, arbitrage is the practice of taking advantage of a price difference between two or more markets: striking a combination of matching deals that capitalize upon the imbalance, the profit being the difference between the market prices.

… Read the rest
Larry Neumann

The good and the bad of circuit breakers

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Whenever markets go haywire as they did during the ‘flash crash’ of May 6th, there are inevitable calls for changes to ensure it doesn’t happen again. This time around the pundits and politicians are calling for circuit breakers to slow down trading when individual stocks or the overall markets goes into freefall. CNBC did a good job of summarizing what’s on the table in the way of circuit breakers in this recent article.

Assuming we get circuit breakers, there is no doubt that they will have a dramatic impact on high-frequency and algorithmic trading. How can you enter into a trade or a hedge in a fast market if you are at risk of one half of the trade being busted after the fact? If you had a buy and a sell that were 30 seconds apart to capture a ¼ point move leveraged 20 times, you have a 5% profit.… Read the rest

PR

Solarflare and Solace Demonstrate Superior Market Data Performance Metrics

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Hardware Acceleration Collaboration Produces New Low-Latency Benchmarks

IRVINE, CA and OTTAWA, March 30, 2010 – Solarflare® Communications, a provider of high-performance 10 Gigabit Ethernet (10GbE) solutions, today announced an alliance with Solace Systems, the leading provider of hardware-based middleware, to ensure and facilitate the success of customers using the two companies’ products. Test results were published to show the ultra-low latency performance that can be achieved using technology from Solace and Solarflare over a 10GbE network. This alliance formalizes Solarflare and Solace actively working together to deliver robust, high-throughput, low-latency messaging to financial services and high-performance computing firms.

The tests measured the latency of market data being routed between publishers and subscribers, each using Solarflare Solarstorm® 10GbE SFP+ server adapters and Enterprise OpenOnload™ kernel bypass software, through a Solace high-speed message router. When handling 1, 000, 000 market data messages per second, the platform exhibited very low latency and jitter – an average latency of just 24 microseconds and a 99.9th percentile latency of 29 microseconds.… Read the rest

PR

TS-Associates and Solace Systems to Enable Real-Time Measurement of Latency in Solace-based Financial Systems

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OTTAWA, March 16, 2010 – Solace Systems, the leading provider of hardware-based middleware, today announced that TS-Associates, provider of the market-leading solution for the precise monitoring and management of low-latency messaging infrastructures, has added support for Solace’s Unified Messaging Platform. TS-Associates’ monitoring appliance, called TipOff™, precisely measures and optimizes latency in high-performance messaging infrastructures like those enabled by Solace’s messaging appliances.

The companies are integrating their appliances at the request of several of Solace’s customers in the financial services sector, including a large multinational bank. Solace’s growing client base includes investment banks, hedge funds, financial data distributors and exchanges from around the world.

“Solace Systems has become a popular technology provider in the financial services sector, and we are increasingly seeing their gear in customer datacenters, ” said Henry Young, director of product development at TS-Associates. “We are pleased to integrate TipOff with Solace, providing non-invasive monitoring of all Solace middleware stack layers and precise data flow latency monitoring to our customers.”

TipOff passively captures Solace packet traffic, measuring latency from the point where applications like market data feeds, feed handlers and algorithmic trading engines handoff data to or from the Solace appliance, and throughout the Solace routing fabric.… Read the rest