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End-to End Latency Reduction in Algorithmic Trading

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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End-to End Latency Reduction in Algorithmic Trading

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  1. End-to End Latency Reduction in Algorithmic Trading Floyd Davis

  2. 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

  3. 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

  4. 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

  5. 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

  6. 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

  7. Ralph Frankel – Chief Technology Officer ralph.frankel@solacesystems.com

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