Saturday, September 24, 2011

OPRA feed processing - load sharing

On the Frontline, one (or more) socket receives the raw feed. Number of sockets is dictated by the data provider system. Socket somehow feeds into tibco (possibly on many boxes). Optionally, we could normalize or enrich the raw data.

Tibco then multicasts messages on (up to) 1 million channels i.e. hierarchical subjects. For each underlier, there are potentially hundreds of option tickers. Each option is traded on (up to) 7 exchanges (CME is #1). Therefore there's one tibco subject for each ticker/exchange. These add up to 1 million hierarchical subjects.

Now, that's the firmwide market data distributor, the so-called producer. My system, one of the consumers, actually subscribes to most of these subjects. This entails a dual challenge

* we can't run one thread per subject. Too many threads.
* Can we subscribe to all the subjects in one JVM? I guess possible if one machine has enough kernel threads. In reality, we use up to 500 machines to cope with this volume of subjects.

We ended up grouping thousands of subjects into each JVM instance. All of these instances are kept busy by the OPRA messages.

Note it's not acceptable to skip any single message in our OPRA feed because the feed is incremental and cumulative.

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http://www.linkedin.com/in/tanbin