High Throughput Application Messaging NYSE Technologies Data Fabric: Enterprise High Performance Messaging Michael Schonberg March 15, 2010 www.openfabrics.org

Summary High Performance Messaging in Financial Services NYSE Technologies’ Messaging APIs Data Fabric: A closer look … Data Fabric Benefits Q&A www.openfabrics.org

Market Data Flow Message path between participants and exchange Market data moves from exchange to participants including banks, hedge funds, and market makes. Participants send trades to the excahge. Market Data Flow Message path between participants and exchange www.openfabrics.org

Market Data Messaging Participants receive messages from exchanges Trades, quotes, updates, news, etc. Usually from multiple exchanges Participants send requests as messages Orders, cancels Exchange processes the request. Requests passing through the exchange using messaging Ultimately generate market data messages that get sent to the participants www.openfabrics.org

Data Fabric in the Exchange NYSE Technologies is the world’s leading provider of end-to-end electronic trading solutions. Provided hosted infrastructure. Trade life cycle: trader or trading application receives market data (through Data Fabric through superfeed or colocated FH) places orderby sending message to MAG. MAG process message and forwards to matching engine. Matching engine executes order generating and publishes trade as market data. Messaging Central to entire exchange business. Data Fabric in the Exchange The central role of messaging in exchange infrastructure www.openfabrics.org

Messaging in the Market Data Enterprise Accelerated platform for enterprise ticker plants, high frequency trading, co-location and other performance oriented applications Radically improved latency over earlier ticker plant technologies Drastically reduced server footprint means lower cost and complexity Built on ultra low latency Data Fabric; supports LDMA, RDMA (10 GigE or Infiniband) and other transport options Targeted for high volume and latency sensitive markets Messaging in the Market Data Enterprise Radically improved latency High volume/throughput Reduced server footprint www.openfabrics.org

Projected Opra 1 Second Peak Rates High performance messaging needed to keep up with these rates. TCP solutions are not sufficient. Too much CPU overhead. Projected Opra 1 Second Peak Rates Opra rates projected to increase 34% over next 6 months and 85% over the next year. www.openfabrics.org

Other Applications Generic messaging platform Publish/subscribe Request/reply GMD Applications in many industries Logistics and distribution Airlines CEP and other enterprise applications Although Data Fabric is primarily deployed as a market data delivery platform, it is a full featured messaging middleware. www.openfabrics.org

Middleware Agnostic Messaging API (MAMA) Single general purpose messaging API Multiple simultaneous middleware implementations Abstraction without the cost Ultra high performance Nanosecond LDMA latency and ultra low RDMA latency Avoids vendor lock-in API adheres to well known idioms and conventions www.openfabrics.org

Data Fabric Data Fabric TCP Data Fabric LDMA Data Fabric RDMA For 1 GigE and fan-out to less latency sensitive applications. Data Fabric LDMA Local shared memory. Ultra-low latency between applications on a single machine. Data Fabric RDMA Single digit microsecond latency between machines. 10 GigE and Infiniband www.openfabrics.org

Data Fabric RDMA The Problem With Sockets The Promise of RDMA User to kernel context switches and copies Latency spikes UDP retransmissions The Promise of RDMA OS bypass IP bypass Zero-copy Reliable connection-based www.openfabrics.org

Data Fabric RDMA 2 Challenges With RDMA Benefits Difficult to program VMS Difficult to monitor User apprehension Benefits Lower latency Higher throughput Smaller footprint Power and cost savings Prior to Data Fabric RDMA Opra required 24 cores. With DF RDMA requires 6. www.openfabrics.org

Transport Latency Comparison 1 publisher, 1 subscriber, 1 Million 200 byte messages/second www.openfabrics.org

Q&A Any questions? www.nyse.com/technologies mschonberg@nyx.com www.openfabrics.org