HPCwire: High Performance Messaging for Financial Services

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March 14, 2008

High Performance Messaging for Financial Services

-- an alternative model for HPC?

by John West, for HPCwire

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The financial services industry thrives on data: millions upon millions of individual buy and sell orders that make up our complex global financial markets. The data has to be accurate, and speed of delivery is a competitive advantage in a business where delivery improvements measured in microseconds can make or break companies.

The financial services industry is a long-time consumer of large-scale HPC, and what's going on in their compute infrastructure has always been relevant to users on the technical side of HPC. As I was talking to Wombat Financial Services about their new Wombat Data Fabric platform, I caught a glimpse of developing ideas that could influence the future of high performance technical computing (HPTC) as we struggle to deal with systems in excess of 100,000 cores.

Wombat was founded in 1997, and acquired by NYSE/Euronext in March of 2008. The company provides software that allows financial firms access to high speed market data in large volumes very quickly. The volume of financial market data quadrupled in 2007. This growth is continuing in 2008, making the ability to provide rapid access to a growing volume of time sensitive data a key differentiator for competitors in this market.

Wombat's latest product -- Wombat Data Fabric(WDF) -- is a middleware solution based on a Remote Direct Memory Access (RDMA) model over an InfiniBand substrate. WDF plugs in underneath Wombat's widely adopted Middleware Agnostic Messaging API (MAMA) that higher level applications are written to, preventing the need for users to port applications as they move from UDP and TCP to next generation fabric-based messaging.

InfiniBand has several advantages over Ethernet-based data delivery networks in financial services. Because of the volume of relatively short messages that have to be exchanged on financial information networks, demands on the I/O subsystem represent a large part of the capacity challenge in these systems. The context switches and data copies that are needed as data moves from the source system to its destination system using TCP over Ethernet introduce latencies and computational loads that can quickly overwhelm the system, causing delays and leading to missed trading opportunities.

A common messaging architecture in this industry is publish/subscribe, or pub/sub. Pub/sub is a loosely-coupled, flexible messaging paradigm where a set of data sources (the publishers) broadcast information on specific topics, and a set of data consumers (subscribers) receive information on topics of interest to them. The subscribers and publishers needn't know about one another, and individual subscribers and publishers may come and go as they please without interrupting the operation of the rest of the participants in the data exchange.

As Ken Barnes, VP of Business and Planning at Wombat, explains, "If you go into the datacenter behind any major trading operation (be it Merrill's equity trading desk, or a stock exchange, or a hedge fund, for example) what you'll find is a row of cabinets housing hundreds of interconnected nodes. You might have a hundred of them publishing normalized data received from dozens of financial markets they participate in (stock exchanges, derivative exchanges, foreign exchange markets, etc). And you'll have a hundred(s) of other servers consuming that data to run their trading algorithms and analytical applications."

InfiniBand allows Wombat's middleware to facilitate the transfer of data between publishers and subscribers using RDMA, bypassing context switches and data copies in the producing and consuming applications. This bypass reduces load on the computers involved in the exchange and also reduces the time it takes for information to reach its intended application on a particular machine.

Another benefit to this approach shows up when messages are dropped by subscribers. Typically when a subscriber becomes overloaded, or network service is interrupted, messages of interest to the subscriber are dropped. When the subscriber recovers, it has to ask the publisher for a data recap so it can catch up to the current state. This can be problematic for large recaps that can trigger subscriber overloads, dropping recapped messages, requiring additional recaps, and so on. This kind of "recap storm" causes congestion in the network, and can overload the publisher, thus causing problems for other subscribers not involved in the original problem.

Wombat's Data Fabric exploits RDMA to allow subscribers to get the data they need on-demand by reading it directly from the publisher's memory. A subscriber that dropped messages can consume the missed messages -- at a rate it determines -- directly from the publisher with no risk of being overwhelmed by the response and no knock on effect to other subscribers.

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