Friday, October 5, 2012

sub-millis OMS architecture - last tips from Anthony

I feel ideally you want to confine entire OMS to one single process, minimizing IPC latency [1]. In practice however, even for one symbol OMS is often split into multiple processes or "instances".

So what's the IPC of choice? It turns out that in sub-millis trading, MOM messaging is the IPC of choice. I mentioned synchronous call and shared memory, but my veteran friend pointed out messaging performs better in practice.

The main platform-component is one big JVM instance with an internal order lookup cache for order state maintenance.

Multi-queue - if there are 50,001 symbols, there will be 50,001 queues. Once a queue is assigned a given thread T351, it is permanently bound to T351. This is to prevent multiple threads handling events concurrently on the same symbol. Obviously we don't want 50,001 threads. Therefore, some kind of multiplexing is in place.

[1] Note data parallelism (into multiple processes) is free of IPC and perfectly fine.

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