Friday, August 24, 2012

Chicago/Sing HFT IV Aug 2012 (master copy in pearl)

Q1: pros and cons of vector vs linked list?

Q1b: Given a 100-element collection, compare performance of ... (iteration? Lookup?)

Q: UDP vs TCP diff?
%%A: multicast needs UDP.

Q: How would you add reliability to multicast?

Q: How would you use tibco for trade messages vs pricing messages?

Q5: In your systems, how serious was data loss in non-CM multicast?
%%A: Usually not a big problem. During peak volatile periods, messaging rates could surge 500%. Data loss would deteriorate.

Q5b: how would you address the high data loss?
%%A: test with a target message rate. Beyond the target rate, we don't feel confident.

Q7: how is order state managed in your OMS engine?
%%A: if an order is half-processed and pending the 3nd reply from ECN, the single thread would block.

Q7b: even if multiple orders (for the same security) are waiting in the queue?
%%A: yes. To allow multiple orders to enter the "stream" would be dangerous.

Now I think the single thread should pick up and process all new orders and keep all pending orders in cache. Any incoming exchange messages would join the same task queue (or a separate task queue) - the same single thread.

3 main infrastructure teams
* exchange connectivity - order submission
* exchange connectivity - pricing feed. I think this is incoming-only, probably higher volume. Probably similar to Zhen Hai's role.
* risk infrastructure - no VaR mathematics.

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