Writing and testing high frequency trading engines in java

Writing and Testing
Higher Frequency Trading Engine
Peter Lawrey
Higher Frequency Trading Ltd

Who am I?
Australian living in UK. Father of three 15, 9 and 6
“Vanilla Java” blog gets 120K page views per month.
3rd
for Java on StackOverflow.
Six years designing, developing and supporting HFT
systems in Java for hedge funds, trading houses and
investment banks.
Principal Consultant for Higher Frequency Trading Ltd.

Event driven determinism
Critical operations are modelled as a series of
asynchronous events
Producer is not slowed by the consumer
Can be recorded for deterministic testing and monitoring
Can known the state for the cirtical system without having to
ask it.

Transparency and Understanding
Horizontal scalability is valueable for high
throughput.
For low latency, you need simplicity. The less the
system has to do the less time it takes.

Productivity
For many systems, a key driver is; how easy is it to add new
features.
For low latency, a key driver is; how easy is it to take out
redundant operations from the critical path.

Layering
Traditional design encourages layering to deal with one
concept at a time. A driver is to hide from the developer
what the lower layers are really doing.
In low latency, you need to understand what critical code is
doing, and often combine layers to minimise the work done.
This is more challenging for developers to deal with.

Taming your system
Ultra low GC, ideally not while trading.
Busy waiting isolated critical threads. Giving up the CPU
slows your program by 2-5x.
Lock free coding. While locks are typically cheap, they
make very bad outliers.
Direct access to memory for critical structures. You can
control the layout and minimise garbage.

Latency profile
In a complex system, the latency increases sharply as you
approach the worst latencies.

Latency
In a typical system, the worst 0.1% latency can be ten times
the typical latency, but is often much more. This means
your application needs to be able to track these outliers and
profile them.
This is something most existing tools won't do for you. You
need to build these into your system so you can monitor
production.

What does a low GC system look like?
Typical tick to trade latency of 60 micros external to the box
Logged Eden space usage every 5 minutes.
Full GC every morning at 5 AM.

Low level Java
Java the language is suitable for low latency
You can use natural Java for non critical code. This should be
the majrity of your code
For critical sections you need a subset of Java and the
libraires which are suitable for low latency.
Low level Java and natural Java integrate very easily, unlike
other low level languages.

Latency reporting
●
Look at the percentiles, typical, 90%, 99%, 99.9% and
worse in sample.
●
You should try to minimise the 99% or 99.9%. You should
look at the worst latencies for acceptability.

Latency and throughput
●
There are periodic disturbances in your system. This
means low throughput sees all of these.
●
In high throughput systems, the delays not only impact one
event, but many events, possibly thousands.
●
Test realistic throughputs for your systems, as well as
stress tests.

Why ultra low garbage
●
When a program accesses L1 cache is about 3x faster than
using L2. L2 is 4 to 7 times faster than accessing L3. L3 is
shared between cores. One thread running in L1 cache
can be faster than using all your CPUs at once using L3
cache.
●
You L1 cache is 32 KB, so if you are creating 32 MB/s of
garbage you are filling your L1 cache with garbage every
milli-second.

Recycling is good
Recycling mutable objects works best if;
They replace short or medium lived immutable objects.
The lifecycle is easy to reason about.
Data structure is simple and doesn't change significantly.
These can help eliminate, not just reduce GCs.

Avoid the kernel
The kernel can be the biggest source of delays in your
system. It can be avoided by
●
Kernel bypass network adapters
●
Isolating busy waiting CPUs
●
Memory mapped files for storage.

Avoid the kernel
Binding critical, busy waiting threads to isolated
CPUs can make a big difference to jitter.
Count of interrupts
per hour by length.

Lock free coding
Minimising the use of lock allows thread to perform more
consistently.

More complex to test.

Useful in ultra low latency context

Will scale better.

Faster math

Use double with rounding or long instead of BigDecimal
~100x faster and no garbage

Use long instead of Date or Calendar

Use sentinal values such as 0, NaN, MIN_VALUE or
MAX_VALUE instead of nullable references.

Use Trove for collections with primitives.

Low latency libraries
Light weight as possible
The essence of what you need and no more
Designed to make full use of your hardware
Performance characteristics is a key requirement.

OpenHFT project
●
Thread Affinity binding
OpenHFT/Java-Thread-Affinity
●
Low latency persistence and IPC
OpenHFT/Java-Chronicle
●
Data structures in off heap memory
OpenHFT/Java-Lang
●
Runtime Compiler and loader
OpenHFT/Java-Runtime-Compiler
Apache 2.0 open source.

Java Chronicle
●
Designed to allow you to log everything. Esp tracing
timestamps for profiling.
●
Typical IPC latency is less than one micro-second for small
messages. And less than 10 micro-seconds for large
messages.
●
Support reading/writing text and binary.

Java Chronicle performance
●
Sustained throughput limited by bandwidth of disk
subsystem.
●
Burst throughput can be 1 to 3 GB per second depending
on your hardware
●
Latencies for loads up to 100K events per second stable for
good hardware (ok on a laptop)
●
Latencies for loads over one million per second, magnify
any jitter in your system or application.

Java Chronicle Example
Writing text
int count = 10 * 1000 * 1000;
for (ExcerptAppender e = chronicle.createAppender();
e.index() < count; ) {
e.startExcerpt(100);
e.appendDateTimeMillis(System.currentTimeMillis());
e.append(", id=").append(e.index());
e.append(", name=lyj").append(e.index());
e.finish();
}
Writes 10 million messages in 1.7 seconds on this laptop

Writing binary
ExcerptAppender excerpt = ic.createAppender();
long next = System.nanoTime();
for (int i = 1; i <= runs; i++) {
double v = random.nextDouble();
excerpt.startExcerpt(25);
excerpt.writeUnsignedByte('M'); // message type
excerpt.writeLong(next); // write time stamp
excerpt.writeLong(0L); // read time stamp
excerpt.writeDouble(v);
excerpt.finish();
next += 1e9 / rate;
while (System.nanoTime() < next) ;
}

Reading binary
ExcerptTailer excerpt = ic.createTailer();
for (int i = 1; i <= runs; i++) {
while (!excerpt.nextIndex()) {
// busy wait
}
char ch = (char) excerpt.readUnsignedByte();
long writeTS = excerpt.readLong();
excerpt.writeLong(System.nanoTime());
double d = excerpt.readDouble();
}

Java Chronicle Latencies
500K/second
Took 10.11 seconds to write and read 5,000,000 entries
Time 1us: 1.541% 3us: 0.378% 10us: 0.218% 30us: 0.008% 100us: 0.002%
1 million/second
Time 1us: 3.064% 3us: 0.996% 10us: 0.625% 30us: 0.147% 100us: 0.105%
2 million/second
Time 1us: 7.769% 3us: 3.836% 10us: 2.943% 30us: 1.865% 100us: 1.798%
5 million/second
Time 1us: 37.039% 3us: 27.926% 10us: 23.635% 30us: 21% 100us: 21%

How does it perform
With one thread writing and another reading
Chronicle 2.0.1
-Xmx32m
Tiny
4 B
Small
16 B
Medium
64 B
Large
256 B
tmpfs 77 M/s 57 M/s 23 M/s 6.6 M/s
ext4 65 M/s 35 M/s 12 M/s 3.2 M/s

Java Affinity
●
Designed to help reduce jitter in your system.
●
Can reduce the amount of jitter if ~50 micro-seconds is
important to you.
●
Only really useful for isolated cpus
●
Understands the CPU layout so you can be declaritive
about your requirement.

Java Lang
●
Suports allocation and deallocation of 64-bit sized off heap
memory regions
●
Thread safe data structures.
●
Fast low level serialization and deserialization
●
Wraps Unsafe to make it safer to use, without losing to
much performance.

Java Runtime Compiler
●
Wraps the Compiler API so you can compile in memory
from a String and have the class loaded
●
Supports writing the text to a directory which in debug
mode allowing you to step into generated code.
●
Generate Java code is slower but easier to read/debug
than generated byte code
●
Dependency injection from Java is easier to debug and
profile than XML

Higher level interface
Instead of serializing raw messages, you can abstract this
functionality with asynchonous interfaces.
You have one or more interfaces which describe all the messages
into the system and all the messages out of the system.
You can test the processing engine without any queuing/transport
layers.

An example
An interface for messages
inbound.
outbound.
All messages via persisted
IPC.

Is there a higher level API?
The interfaces look like this
public interface Gw2PeEvents {
public void small(MetaData metaData, SmallCommand command);
}
public interface Pe2GwEvents {
public void report(MetaData metaData, SmallReport smallReport);
}

Is there a higher level API?
The processing engine
class PEEvents implements Gw2PeEvents {
private final Pe2GwWriter pe2GwWriter;
private final SmallReport smallReport = new SmallReport();
public PEEvents(Pe2GwWriter pe2GwWriter) {
this.pe2GwWriter = pe2GwWriter;
}
@Override
public void small(MetaData metaData, SmallCommand command) {
smallReport.orderOkay(command.clientOrderId);
pe2GwWriter.report(metaData, smallReport);
}
}

Demo
inbound.
outbound.
All messages via persisted
IPC.

How does it perform?
On this laptop
[GC 15925K->5838K(120320K), 0.0132370 secs]
[Full GC 5838K->5755K(120320K), 0.0521970 secs]
Started
processed 0
processed 1000000
Processed 2000000
… deleted …
processed 9000000
processed 10000000
Received 10000000
Processed 10,000,000 events in and out in 20.2 seconds
The latency distribution was 0.6, 0.7/2.7, 5/26 (611) us for the
50, 90/99, 99.9/99.99 %tile, (worst)
On an i7 desktop
Processed 10,000,000 events in and out in 20.0 seconds
The latency distribution was 0.3, 0.3/1.6, 2/12 (77) us for the
50, 90/99, 99.9/99.99 %tile, (worst)

Q & A
Blog: Vanilla Java
Libraries: OpenHFT
peter.lawrey@higherfrequencytrading.com

Writing and testing high frequency trading engines in java

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