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