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

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

3. 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

4. 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

5. 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

6. 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

7. 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.

8. 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.

9. 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

10. 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

11. 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

12. 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.

13. Transport Latency Comparison
1 publisher, 1 subscriber, 1 Million 200 byte messages/second

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