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The Future of Trading

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Trading Desk, in One Box

November 4, 2010
By Tom Steinert-Threlkeld

Let’s say you need a dozen feed handlers, taking in market data from a dozen sources at the same time. Let’s say you want to put nine algorithmic trading engines to work. And send out thousands of orders, through two different market gateways.

What do you need to get the job done?

One server, in a single slot on a data center rack.

TRADING DESK IN A BOX. This IBM System x3850 server is acting as a complete trading desk, taking in 12 market data feeds, sending information to nine algorithmic trading engines that then send instructions through two gateways to designated exchanges, at the rate of thousands of orders a second.

In effect, the trading desk has been put in a box. Instead of tying together processors and data appliances with cables across many racks, it’s getting easier and faster to put the network inside one computing container.

And that gets you closer to the matching engines of any venue you want to reach.

“You can put this in Mahwah and we will have five markets there’’ by early next year, said Feargal O’Sullivan, head of enterprise software in the Americas for NYSE Euronext, which now houses the matching engines of its exchanges at its new data center in Mahwah, N.J. “So you can deploy the box in there and hit any of those markets very quickly, very easily and then you’re connected to away markets as well at high speeds.’’

In effect, there’s no network. All the processing of historical and current data takes place, inside the box. All complex event processing occurs inside the box. All algorithms run inside the box. And all trade orders come out of the box.

“The beauty of it is that it’s very simple. You don’t need Infiniband, you don’t need 10 gigabit Ethernet, you don’t need complex drivers, network interface cards or anything like that,’’ said O’Sullivan. “You run it all on one box and the latency between the processes is very low.’’

Replacing Infiniband or 10 gigabit Ethernet cables are something that chipmaker Intel calls Quick Path Interconnect links. These links come in pairs and connect each processor and component on a motherboard to each other.

And now, IBM, for instance, has come out with a server that uses QPI to link 32 Intel processors together, in that one box. Making the trading desk in one box feasible.

The development is an outgrowth of work on middleware that the NYSE performed a few years ago to allow different processors to share local pockets of memory.

This helped make it possible to replace several machines with several processors sharing multiple sources of data with one box, able to handle the basic tasks of taking in data, making strategic trading calculations, sending out orders and routing them to the desired destinations, all in microseconds.

In fact, O’Sullivan says now an application can run at the clockspeed of the core processor to which it has been assigned – and run without interruption. Memory can be read in under 10 billionths of a second. Applications can talk to other applications in 2 millionths of a second.

But cables have not completely gone away. If you take a couple Quick Path Interconnect cables, you can hook up two of these boxes and get 64 cores lashed together, at such speeds.

And cables are still needed to hook to the boxes that house the exchanges’ matching engines.




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