Real Time Risk Management with Microsoft’s StreamInsight

1. Financial Services Technology Expo
Real Time Risk Management with Microsoft’s StreamInsight
A Microsoft Point of View Presentation
Hilton New York Hotel
New York, NY
June 22-24, 2010

2. Real Time Risk Management with Microsoft’s
StreamInsight
Matt Davey
2

3. Agenda
3 StreamInsight: A Capital Markets Tale
About Lab49
Capital Markets StreamInsight Solutions
• Market Strategy Engine
• Market Real-Time Risk (RTR) - SQL Server 2008 R2
• Market Real-Time Risk - Windows AppFabric Caching (Velocity)
• Market Real-Time Risk - HPC Server 2008?
Closing
• Lessons Learnt

4. About Lab49

5. Lab49
5 About Us
We create advanced solutions for the We combine the skills of our practices to
financial services industry through strategic deliver innovation:
and technical consulting: • Strategy group
• Working with the world’s largest investment • User Experience practice
banks, hedge funds and exchanges.
• Development practices
• Designing and delivering some of the most
alongside the adoption of some key tenets:
sophisticated and forward thinking financial
applications. • Domain Driven Development
• Applying user-centred principles to the world of • Lean Agile Process
bespoke software. Our History
• From concept to complete, ui to server. Lab49 was founded in 2002 and now comprises
approximately 200 people, with offices in
New York and London.

6. Capital Markets StreamInsight Solutions

7. Market Strategy Engine

8. Markets are Changing
8 Market Strategy Engine
• Markets are becoming more complex
• StreamInsight offers a cleaner way to process events in this complex world
• Algorithmic trading has become mainstream
• StreamInsight enhances the cleansing/validation of market data, order execution/management,
pricing engines and more
• Speed and latency are critical to maximising profitability
• StreamInsight’s leverages the Microsoft development platform to improve speed of development
coupled with Microsoft’s commitment to “Process large volumes of events across multiple data
streams” in “low latency”
• Back testing in the search for new strategies
• StreamInsight’s adapter architecture allows easy access to historical market data repositories
e.g. kdb+

9. The Problem - Butterfly Strategy
9 Market Strategy Engine
Leg Buy/Sell Working Leg Price Weight Size Weighting
Bobl Buy Yes 1 1
Bund Sell No -0.28 0.28
Schatz Sell No -1.19 1.19
Buy 10 Bobl
10 Fly @ -49
Sell 3 Bund
Sell 12 Schatz

10. StreamInsight Engine Flow
10 Market Strategy Engine
(1)
(3)
(2)

12. Take Aways
12 Take Aways
Benefits over existing non-CEP based strategy engines
• StreamInsight offers the advantage and benefits of CEP principles
• Working and reasoning with Time - dealing with out of order arrivals
Benefits over existing competitor CEP based strategy engines
• LINQ/.NET implementation
• Easy integration to other Microsoft products
• Lower total cost of ownership

13. Market Real-Time Risk: SQL Server 2008

14. Market Risk
14 Market Risk
Market risk is the risk that the value of a portfolio, either an investment portfolio or a trading portfolio, will
decrease due to the change in value of the market risk factors

15. Why The Need For Real-Time Risk (RTR)?
15 Why The Need For Real-Time Risk (RTR)?
Investment banks need to hedge their positions
Latency
T-1 and warehousing - PnL Explain
Servers are cheaper and faster than workstations
Improved Aggregation and drill-down

16. High Level Architecture
16 High Level Architecture
Streaminsight
F# Agent
Market Depth Strategy Strategy Definition
LINQ
Orders
Agent
Agent (F#)
Market Agent (F#)
Agent (F#)
LINQ Leg Orders
Trade
LINQ
Cancel
Aggregation Shocking Curve
Engine
Market Risk HPC
(GPU?)

17. Aggregation Engine Architecture
17 Aggregation Engine Architecture
Static
Data
Microsoft StreamInsight
Position Database
Microsoft Analysis
Input Output SQL
Adapter Adapter Server
2008 R2
Services
LINQ
Risk Real-Time OLAP
Input Push Output Cube
Adapter Adapter
XMLA Server
Client
Excel

18. RTR Highlights
18 RTR Highlights
• StreamInsight process Risk data, feeding SQL Server 2008 R2
• StreamInsight provides the XMLA service with real-time push notifications - e.g. portfolio ID’s
• “XMLA” Server sits between the client and SQL Server intercepting client requests, and providing “push”
services (smart polling, subscription manager)

19. Take Aways
19 Take Aways
Compared To Other Solutions
• The Microsoft solution offers a modularised real-time risk solution that is customisable
• It’s a complete Microsoft (.NET) stack
• Leveraging SQL Server 2008 R2 Analysis Services - (ROLAP for T, and MOLAP T-x)
Performance
• We can improve further by adding another Microsoft product......

20. Market Real-Time Risk: Windows
AppFabric Caching (Velocity)

21. Velocity RTR Architecture
21 Velocity RTR Architecture
Static Risk Warehousing
Data
Microsoft StreamInsight
Position Database
SQL
Microsoft Analysis
Input Output
Adapter Adapter Server
2008 R2
Services
LINQ
Risk Real-Time
Input Push Output OLAP
Adapter Adapter Cube
Windows
Server
XMLA Server AppFabric
XMLA Server
Caching
(Velocity)
Client
Excel

22. Database vs Cache
22 Database vs Cache
Database Cache
Notification Notification Service deprecated in SQL Server 2008 Windows AppFabric Cache Notification
OLAP Cube Analysis Service Custom build of an in-memory cube
Scalability Out the box partitioning, hot-hot support Distributed Cache

24. Take Aways
24 Take Aways
Compared To Other Solutions
• The Microsoft solution offers a modularised real-time risk solution that is customisable
• It’s a complete Microsoft (.NET) stack
• Best of both worlds
• SQL Server - backup, warehousing (ROLAP for T, and MOLAP T-x)
• Distributed Cache - performance

25. Market Real-Time Risk: Windows HPC
Server?

26. Leveraging HPC Within Market Risk
26 Where Does HPC Fit Within Market Risk?
• Compute Intensive
• Cash Flow Calculations
• Monte Carlo
• Bumping the curve/Perturbation
• Discount Factor Pre-Calculations
• Job Distribution
• Stateful/Stateless distribution of Market Risk calculation data
• Dynamic partitioning of the cluster based on Service Level Agreements (SLA’s)
• HPC tuning based on historical job data

27. StreamInsight + HPC Architecture
27 StreamInsight + HPC Architecture
Strategy Engine
Exchange/ (Microsoft
Trade
ECN StreamInsight)
Windows Server HPC 2008 R2 Cluster
HPC
Scheduler
HPC Node
Market Risk Calculation
Real-Time Cube
(Microsoft F#)
(OLAP)
Trade Store/Snapped Market Data
Node State Manager
(Windows Server AppFabric Caching /
HPC NodeManager Database)

28. Closing

29. Lessons Learnt
29 Lessons Learnt
Business
• StreamInsight improves the delivery timeline of business solutions
Technology Thoughts
• AdvancedTimeImportSettings can help within keeping time (CTI’s and joining streams)
• UDF’s offer lots of extensibility
• Supports Reactive Framework (Rx)
• .NET 4 supported coming very soon
StreamInsight V2 Wish List
• UDF need to support the ability to returning Events, and open up to non-primitive types
• Nested classes not supported
• UDF’s static nature is restrictive

30. thank you for your time…
any questions?
matt davey (matt.davey@lab49.com)
mdavey.wordpress.com | Tales from a trading desk

31. More Microsoft Sessions
Tuesday June 22nd, 2:30 PM Madison Room: Cloud Computing In Financial Services
Wednesday June 23rd, 8:00 AM Green Room – 4th Floor Breakfast: Microsoft CRM for
Financial Services
Wednesday June 23rd, 2:15 PM Petit Trianon Room – Real Time Risk Management
with Microsoft’s StreamInsight
Meet with our Cloud Computing, StreamInsight and HPC Product teams at the Green
Room, 4th Floor
Follow us on Twitter @FinServMSFT
Visit us at www.microsoft.com/financialservices
31

32. More Microsoft Sessions
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