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TRADING PLATFORMTRADING PLATFORMARCHITECTUREARCHITECTUREFOR A WALL STREET INVESTMENT BANK
JOSH WESTSOLUTIONS ARCHITECT
RED HAT FINANCIAL SERVICES
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USE CASEUSE CASEO R D E R P R O C E S S I N G A N D M A R K E T D E L I V E R YO R D E R P R O C E S S I N G A N D M A R K E T D E L I V E R Y
EMERGENCY ORDER ENTRY
UPSTREAM ORDERENTRY SYSTEMS
EQUITIES & OPTIONS
EXCHANGES
TRACKING & REPORTING
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LEGACY SOLUTIONLEGACY SOLUTION
Expensive to maintainDedicated StaffSpecialized Support SkillsDifficult to UpdateScalability
P R O P R I E T Y H I G H L Y A V A I L A B L E H A R D W A R E - S T R A T U SP R O P R I E T Y H I G H L Y A V A I L A B L E H A R D W A R E - S T R A T U S
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MODERN SOLUTIONMODERN SOLUTION
D I S T R I B U T E D O P E ND I S T R I B U T E D O P E N
S O U R C E S O F T W A R E S T A C KS O U R C E S O F T W A R E S T A C K
C O M M O D I T Y H A R D W A R EC O M M O D I T Y H A R D W A R E
ModularEnable AgilityLower CostNo-LockinTransaparentViable Support
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FSI ... NOT SILICON VALLEYFSI ... NOT SILICON VALLEY
Always consistent,versus eventually
ACID Transactions
High Throughput,versus Internet Scale
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OPERATIONAL REQUIREMENTSOPERATIONAL REQUIREMENTS
UPTIME DISASTERRECOVERY
FAULTTOLERANT
SLA SCALABLE
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OPERATIONAL REQUIREMENTSOPERATIONAL REQUIREMENTS
UPTIMEDISASTER
RECOVERY
FAULT
TOLERANT
SLA SCALABLE99.9999% uptime requiredOperation hours onlyLoss of availabil ity = $$$$ andcustomers
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OPERATIONAL REQUIREMENTSOPERATIONAL REQUIREMENTS
UPTIME
DISASTERRECOVERY
FAULT
TOLERANT
SLA SCALABLE
Geographic replication5min switchover or lessNeed to replicate across DCswithout big latency impact
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OPERATIONAL REQUIREMENTSOPERATIONAL REQUIREMENTS
UPTIME DISASTER
RECOVERY
FAULTTOLERANT
SLA SCALABLE
Tolerate single node fai lureGuaranteed deliveryAlert on any fai lureMonitor at business andtechnical levels
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OPERATIONAL REQUIREMENTSOPERATIONAL REQUIREMENTS
UPTIME DISASTER
RECOVERY
FAULT
TOLERANT
SLASCALABLE
Init ial Minimum Acceptance
200 messages / second
120 orders / second600,000 orders / day
900,000 executions / day
3,750,000 activit ies / peak
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OPERATIONAL REQUIREMENTSOPERATIONAL REQUIREMENTS
UPTIME DISASTER
RECOVERY
FAULT
TOLERANT
SLA
SCALABLEIncreasing upstream sources
Planned throughput growth
Abil ity to add capacity easi ly
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NOTABLE REQUIREMENTSNOTABLE REQUIREMENTSState ManagementTransactionalModularization
Declarative Business Logic and ValidationsContent Based RoutingDestination specific formattingSystem Monitoring and AlertingUser AuditingSystem Wide ReportingWeb Front-End
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BUILDING BLOCKSBUILDING BLOCKS
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BUILDING BLOCKSBUILDING BLOCKS
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Order State Managment
Market Connectivity
NYSEFidessaIB
Monitoring and M
anagement
SCALE
UpstreamOrder
Systems
Order State Managment
Validate, Manage State, Enrich, Determine Route, Transform, Transmit
FIX/CMS+ over MQ FIX over SOAP
Executions and AC
Ks
Market Connectivity
Select Session, Enrich Session Details, Execution matching, Deliver, Persist, Maintain Sesion
Load and Affinity Routing
Route, Maintain Affinity State, Balance Load
UI Server Cluster
Emergency Order Entry, Routing Management
FIX Sessions, Execution Venues
MainframeSystem of Record
Copybook over MQ
SCALE
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INTERESTING PATTERNSINTERESTING PATTERNSDistributed StateData Affinity & CorrelationData Processing with Updatable LogicPerformance Instrumentation
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DISTRIBUTED STATE MANAGEMENTDISTRIBUTED STATE MANAGEMENT
CAP Theorem
Infinispan with Fencing
JGroups API
Master Election
In-memory cache
LevelDB Backed
Transactional
3 Node Replicated Cluster
Tolerates 1 failure
CONSISTENCY
AVAILABILITY PARTITIONTOLERANCE
Infinispan Default
Infinispan withFencing
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DATA AFFINITY & CORRELATIONDATA AFFINITY & CORRELATION
Accumulate Payload from Multiple Correlated Messages
Blackboard Pattern
Smart Load Balancing
Fast Data Lookup with Cache
Load Balance
& Affinity
Accumulate /Enrich
Watchthen Transmit
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UPDATABLE LOGICUPDATABLE LOGICPlumbing versus and Processing
Represent business rules in a declarative model using Drools
Plumbing with Enterprise Integration Patterns using Camel
Future goal to enable editing and deployment of rules
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PERFORMANCE INSTRUMENTATIONPERFORMANCE INSTRUMENTATIONGather metrics and events from the cluster
Process with Complex Event Processing
Enforce SLAs and alert on issues
Business Oriented Policies
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CONCLUSIONSCONCLUSIONS
Cost Savings Maintainability
Modern DesignPatterns for FSI
Ultimate Toolkitwith Open Source
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FINANCIAL SERVICES
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