Technology for Tomorrow’s High Performance Exchanges Paul Michaud Global Executive IT Architect for Financial Markets November 2009 © 2009 IBM Corporation

Technology for Tomorrow’s High Performance Exchanges Advancements in Technology and Architecture For Exchanges  About 6 years ago IBM initiated a concentrated effort around developing technologies and best practice system design for exchanges under the umbrella of the Securities Exchange Reference Architecture (SXRA) project  Part of this effort involved building an exchange front office test harness, including Order Management Systems (OMS), FIX Gateways, Matching Engines, Transaction Loggers, Load Balancers and Monitoring Systems  IBM uses this test harness to test and refine both our technologies and our design ideas  This Proof of Technology platform has undergone 6 complete iterations and design changes over those years culminating in technologies and design patterns which are now being put into production

© 2009 IBM Corporation Technology for Tomorrow’s High Performance Exchanges SXRA Configuration OMS 1 Gateway 1 Data Logger XIV WMQLLM Message Store OMS2 Gateway 2 OMS 3 Gateway 3 OMS 4 Gateway 4 OMS 5 Gateway 5 OMS 6 Gateway 6 ME3-1 ME3-2 ME4-1 ME4-2 ME5-1 ME5-2 ME2-1 ME2-2 ME1-1 ME1-2 WMQ Low Latency Messaging Load Balancer Monitor

© 2009 IBM Corporation Technology for Tomorrow’s High Performance Exchanges Key Achievements  Demonstrated round trip Gateway to Gateway times as low as 12 usec  Matched over 6 Million orders per second on 5 partitions and demonstrated linear scalability with additional hardware  Unique High Availability (HA) mechanisms for running components in a Hot-Hot configuration  Detection and failover from primary matching engine to secondary in as little a 7 milliseconds  No loss or duplication of orders during failure  Total order of messages is enforced without central message sequencer, resulting in reduced latency and improved scalability  Support for parallel networks and fault tolerance in the event of network failure  Full message persistence at speeds of up to 7Gbps with a single IBM 3650 writing to disk, scalable horizontally with additional hardware  Ability to bring up new cold component (e.g. Matching Engine) and synchronize its state to the current primary on the fly  Ability to dynamically rebalance load across Matching Engines on the fly using theses state synchronization mechanisms  Most of these capabilities have been made available through IBM Websphere MQ Low Latency Messaging (LLM)

© 2009 IBM Corporation Technology for Tomorrow’s High Performance Exchanges Looking Forward  IBM continues to enhance the technology  Recent Additions –Split brain detection and prevention –Shared memory messaging capabilities –Improved manageability and monitoring –High resolution clock synchronization technology –Enhanced messaging modes for improved WAN support for DR  Going Forward –Continued improvements in performance, scalability and reliability –Streamlined API’s –Support for not just N+N but also N+1 reliability modes

© 2009 IBM Corporation Technology for Tomorrow’s High Performance Exchanges Additional Areas of Effort  Work using Infosphere Streams for Surveillance, Risk Management, Large Scale Monitoring and Process Automation  New Chip technologies for high performance message processing, routing, etc  Appliance based FIX engines  High Performance In Memory Databases  New Solid State Disk Technology