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Presentation on theme: ""— Presentation transcript:

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5 http://www.nytimes.com/2011/08/27/business/as-trade-volumes-soar-exchanges-cash-in.html

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7 http://www.bloomberg.com/news/2012-01-23/stock-trading-is-lowest-in-u-s-since-2008.html

8 http://www.tabbgroup.com/PublicationDetail.aspx?PublicationID=346

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10 BuySell 50, $1260, $10 60, $11100, $11 30, $1030, $12

11 BuySell 50, $1260, $10 60, $11100, $11 30, $1030, $12 Price: $10

12 BuySell 60, $1110, $10 30, $10100, $11 30, $12 Price: $10

13 BuySell 60, $1110, $10 30, $10100, $11 30, $12 Price: $10

14 BuySell 50, $11100, $11 30, $1030, $12 Price: $10

15 BuySell 50, $11100, $11 30, $1030, $12 Price: $11

16 BuySell 30, $1050, $11 30, $12 Price: $11

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20 Not ValidatedValidatedProcessed Validator Processor

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22 MethodTime in msec Single Thread300 Single Thread w/ Lock10.000 2 Threads w/ Lock224.000 Single Thread w/ CAS5.700 2 Threads w/ CAS30.000 Single Thread w/ Volatile Write 4.700 http://disruptor.googlecode.com/files/Disruptor-1.0.pdf

23 Queue (Lack of) Fairness Consumer Thread 1 Consumer Thread 2 60 50 BuySell 100

24 Queue (Lack of) Fairness Consumer Thread 1 Consumer Thread 2 50 60 BuySell 100

25 Queue (Lack of) Fairness Consumer Thread 1 Consumer Thread 2 BuySell 100 60 50 Can you tell which order will be executed 1 st ?

26 Validator Processor

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30 Symbol=A-HSymbol=I-SSymbol=T-Z Validator Processor Processor thread pool per segment

31 Single Processor thread pool, pick random segment Symbol=A-HSymbol=I-SSymbol=T-Z Processor

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34 Single processor thread per segment Symbol=A-HSymbol=I-SSymbol=T-Z Processor

35 Shared thread pool, mark segments under processing (CAS) Segment 1Segment 2Segment 3 Processor Segment 1 Segment 2 Segment 3

36 Shared thread pool, mark segments under processing (CAS) Segment 1Segment 2Segment 3 Processor Segment 1X Segment 2 Segment 3

37 Shared thread pool, mark segments under processing (CAS) Segment 1Segment 2Segment 3 Processor Segment 1X Segment 2 Segment 3X

38 Shared thread pool, mark segments under processing (CAS) Segment 1Segment 2Segment 3 Processor Segment 1 Segment 2 Segment 3X

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40 Segments are created and removed as needed Processor

41 Segments are created and removed as needed “GOOG” Processor “GOOG”

42 Segments are created and removed as needed “GOOG” Processor “GOOG”

43 Segments are created and removed as needed “GOOG” Processor GOOG AAPL “AAPL”

44 Segments are created and removed as needed “GOOG” Processor GOOGX AAPL AMZN “AAPL” “AMZN”

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