Name
Title | ||
|---|---|---|
Implementing a high-volume, low-latency market data processing system on commodity hardware using IBM middleware |
Abstract | ||
|---|---|---|
A stock market data processing system that can handle high data volumes at low latencies is critical to market makers. Such systems play a critical role in algorithmic trading, risk analysis, market surveillance, and many other related areas. We show that such a system can be built with general-purpose middleware and run on commodity hardware. The middleware we use is IBM System S, which has been augmented with transport technology from IBM WebSphere MQ Low Latency Messaging. Using eight commodity x86 blades connected with Ethernet and Infiniband, this system can achieve 80 μsec average latency at 3 times the February 2008 options market data rate and 206 μsec average latency at 15 times the February 2008 rate. |
Year | DOI | Venue |
|---|---|---|
2009 | 10.1145/1645413.1645420 | SC-WHPCF |
Keywords | DocType | Citations |
commodity hardware,ibm system,high data volume,stock market data,low-latency market data,options market data rate,market maker,commodity x86 blade,ibm middleware,ibm websphere mq low,market surveillance,sec average latency,low latency,middleware,data processing,risk analysis,implementation | Conference | 13 |
PageRank | References | Authors |
0.77 | 10 | 14 |
Name | Order | Citations | PageRank |
|---|---|---|---|
| Xiaolan J. Zhang | 1 | 21 | 1.95 |
| Henrique Andrade | 2 | 13 | 0.77 |
| Buğra Gedik | 3 | 107 | 8.83 |
| Richard King | 4 | 148 | 8.47 |
| John Morar | 5 | 13 | 0.77 |
| Senthil Nathan | 6 | 122 | 5.37 |
| Yoonho Park | 7 | 350 | 35.57 |
| Raju Pavuluri | 8 | 23 | 2.34 |
| Edward Pring | 9 | 13 | 1.10 |
| Randall Schnier | 10 | 13 | 0.77 |
| Philippe Selo | 11 | 141 | 7.97 |
| Michael Spicer | 12 | 20 | 1.37 |
| Volkmar Uhlig | 13 | 463 | 38.60 |
| Chitra Venkatramani | 14 | 499 | 31.95 |