Wednesday, March 7, 2012

offload non-essential processing to helper threads

In many real time trading systems, a novice threading developer may decide to dispatch some non-essential logging[1] logic to a thread pool, without measuring the resulting latency. I don't always have time to profile such trivial code, so I am not sure if latency might be better if we simply execute the logging code in the current "request processing" thread.

However -- here's the key point -- even if threading doesn't help in this case, it's still important to know how to use threading in similar contexts.

I'd rather have a developer with threading know-how even though we don't need it now, than a developer uninitiated to the intricacies of threading.

If you are wondering why the fuss over non-essentials, here's an example -- In some of the busiest, most time-critical trading engines in the exchanges/ECNs, there's just a single thread sorting/matching quotes for a given symbol. This thread has to be lean and mean. All non-essentials must be delegated. We just mentioned a naive Design #1.

Design #2) Another common technique is messaging. Send a message with all the details, and leave the rest to the receivers. I feel this is slower than threading. Serialization, data copy, network bottleneck, socket handshake. Fastest thread should be network-free and disk-free.

Design #3) Another producer/consumer design uses a pre-allocated (circulalr) array of Requests. Main thread just set a flag to mark a request as executed and move on. Some consumer threads would clean it up and remove it from the array. Typically, we have a single producer and a configurable bunch of consumers, just like a thread pool. If there are enough consumer threads, then the buffer [2] will be almost empty. I feel it's helpful if the buffer fits into CPU cache.

Note all the designs are producer/consumer.

[1] or other non-essential work such as serialization, persistence, replication, comparison, verification, DB query, or web download. See http://bigblog.tanbin.com/2010/10/gemfire-write-behind-and-gateway-queue.html

[2] You can call it a task queue, but physically it's really a simple memory buffer, the simpler the faster.

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