Monday, March 12, 2012

Tx Monitoring System - distributed cache

I believe I learnt this from an Indian consultant while working in Barcap. Perhaps gigaspace?

Basic function is to host live transaction data in a huge cache and expose them to users. Includes outgoing orders and incoming execution reports. I think market quotes can also be hosted this way.
Consumers are either sync or async :
1) Most common client mode is synchronous call-and-wait. Scenario -- consumer can't proceed without the result.
2) Another common mode is subscription based.
3) A more advanced mode is query-subscription (similar to continuous query), where
- consumer first make a sync call to send a query and get initial result
- then MOM service (known as the "broker") creates a subscription based on query criteria
- consumer must create a onMsg() type of listener.

Query criteria are formatted in SQL format. In a select A,B.. A actually maps to an object in the cache.

Major challenge -- volume. Millions of orders/day, mostly eq, futures and options. Gigabytes of data per day. Each order is 5kB - 10KB. One compression technique is FIX style data-dictionary -- Requester and reply systems communicate using canned messages, so network is free of recurring long strings.

All cache updates are MOM-based.

Q: when to use async/sync? 

A: Asynchronous query – needed by Live apps – need latest data
A: Synchronous query – reporting apps

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