Sybase RAP and CEP address challenges in the financial services industry from increasing data volumes and velocity. Technologies like RAP and CEP provide real-time analytics and complex event processing to help meet regulatory requirements and enable new trading strategies with low latency. These solutions are also applicable outside of financial services in industries like telecom, government, supply chain, and healthcare to extract insights from streaming data.

1. Sybase RAP
&
Sybase CEP
Sybase
RAP & CEP
卢东明
技术总监， Sybase China
1

2. 议题
Sybase RAP
&
Sybase CEP
▌ 金融行业面临的挑战
▌ 业务的响应
▌ 技术的解决方案
 RAP
 CEP
▌ 金融行业以外的应用
2

3. Market Dynamics Create Extreme Sybase RAP
Pressures &
Sybase CEP
Volumes, velocity, complexity of data are stressing systems
3

4. Sybase RAP
It is all about Speed! &
Sybase CEP
Near- or sub-millisecond
latency times are needed to
stay competitive in the February 4, 2008
trading markets, says Low*,
“but at the same time,
you’re expected to be rock- best-of-breed solution was
solid, bulletproof, and never able to support latency of
fail as a system and never less than 1 millisecond
lose data.” (987 microseconds) at
6,000 orders per second,
with full data replication
* Gideon Low, principal architect for business development and
alliances at GemStone 4

5. Sybase RAP
New Regulations &
Sybase CEP
▌MiFID (Europe) and RegNMS (U.S.)
 Best execution
 Must be able to prove that the trading decision was in the best
interest of the customer
 Need to be able to reconstitute a trade that is 5+ years old
▌Know Your Customer/Counterparty, etc
 Liable for business you conduct with nefarious people
 Even legitimate business is not allowed
5

6. 当前体系结构的挑战
Sybase RAP
&
Sybase CEP
问题 : 专门的系统产生数据孤岛，信息孤岛，增加系统延时
MARKET Traders, Automated
Quants, Model
DATA Trading Apps
Development
HISTORY (time series)
RESEARCH (scenarios, post-
trade analysis, etc)
TRADE & RISK DATA
P&L Monitoring,
Risk Manager, Others
Management & CORPORATE DATA
Compliance
Reporting
6

7. 议题
Sybase RAP
&
Sybase CEP
▌ 金融行业面临的挑战
▌ 业务的响应
▌ 技术的解决方案
 RAP
 CEP
▌ 金融行业以外的应用
7

8. Sybase RAP
New York Stock Exchange – Then &
Sybase CEP
8

9. Sybase RAP
New York Stock Exchange – Now &
Sybase CEP
9

10. 纽约最有价值的“地产” Sybase RAP
&
Sybase CEP
▌The first thing Wall Street executives want to
know when they tour the New York Stock
Exchange's data centers to check on the servers
they've co-located there is, who is hosted in the
other cabinets and why aren't their own cabinets
closer to the NYSE's servers, reports Steve
Rubinow, the exchange's CTO.
January 22, 2008
10

11. 创新者！ Sybase RAP
&
Sybase CEP
▌A challenge can also be an opportunity
▌A small hedge fund far from NY and London has
figured out how to beat the markets
▌“Day trading” on steroids!
11

12. 对冲基金策略 Sybase RAP
&
Sybase CEP
12

13. 对冲基金策略
Sybase RAP
&
Sybase CEP
13

14. 电子交易 vs. 传统交易
Sybase RAP
&
Sybase CEP
14

15. 交易案例
Sybase RAP
&
Sybase CEP
15

16. 议题
Sybase RAP
&
Sybase CEP
▌ 金融行业面临的挑战
▌ 业务的响应
▌ 技术的解决方案
 RAP
 CEP
▌ 金融行业以外的应用
16

17. 关系型数据库 vs 事件处理模型
Sybase RAP
&
Sybase CEP
CEP
Up
da
Memory t es Processing
Updates
Disk Polling Alerts
Queries Actions
Memory
Disk
 Stores data before processing  Grabs, analyzes data as it flies by
 Optimized for business data  Different way of thinking:
processing ●
Send data to the queries
 Load the needles, not the haystack
Advantage: Minimal latency
●
No waiting
●
Results delivered in-flight
17

18. 复杂事件处理 CEP
Sybase RAP
&
Sybase CEP
事件的复杂度
Complex
events Traditional Complex
Business Event
Intelligence Processing
Simple
events Messaging
RDBMS & Routing
Systems
处理速度
Human speed Machine speed
(seconds to minutes) (msec) 18

19. Complex Event Processing Sybase RAP
High Level Architecture &
Sybase CEP
Stream
Data Management Pattern Matching Output Control
Management
Filtering
Ordering
Indexing Specification Ordering
Input Data Streams
Routing
Windows Identification Routing
Output Events
Delays
Merging Non-Events Delivery
Missing Mgs.
Correlation Interfaces
Decomposition
Aggregation
State
Persistence, Caching, Locking, Database Reads/Writes
Execution
Continuous Processing, Synchronization, Threading, Security, Clustering, Availability
Complex Event Processing will:
 Save multiple man-years of development & maintenance
 Speed time-to-market
 Dramatically increase responsiveness to the business
19

20. 最大的风险是“延迟”
Sybase RAP
&
Sybase CEP
Time Risk
More TIME More RISK
It takes to know
your position
Counterparty Risk?
Liquidity Risk?
Enterprise Risk?
从事件发生到响应之间的延迟是你最大的风险
20

21. 波动 = 机会
Sybase RAP
&
Sybase CEP
Time Reward
Act Faster More
Opportunity
▌You must
●
Separate opportunities from background noise
●
Measure opportunity – Risk vs. Reward
●
Act on opportunity
21

22. 对 CEP 的需求 Sybase RAP
&
Sybase CEP
Need for complex event processing engine
Challenges in developing analytics
apps on streaming data ▌ Continuous analysis of high-speed data streams, prior
to storage
●
Custom developed apps
▌ High-throughput
●
Time consuming ▌ Low-latency – sub-millisecond
●
Expensive ▌ Rapid development and deployment
●
Cannot be changed quickly ▌ Integration with ecosystem
Input Data CEP Output
Streams Engine Events
Solution Financial Market Data Applications
Trading Systems
Risk Systems Databases
Complex event definition Application Data
A complex event is the discovery of a Databases Message Bus
fact derived by correlating multiple Message Bus Visualization
events and applying rules to that set Tools & Alerts
of events.
* IDC report #215785, December 2008
Historical &
Reference Data
22

23. 资本市场上 CEP 的使用案例 Sybase RAP
&
Sybase CEP
Technology
Capital Markets Usage Requirements
Trading
• Algorithmic trading High speed data capture
• Real-time position and portfolio analysis
• Smart order routing
Real time analytics and aggregation
Risk management
• Real-time risk analysis
• Trader compliance monitoring Computations on event windows
• Monitor activities of exchange, or Dark Pool
members for compliance
• Real time P&L analysis
Connectivity to multiple systems
Market data support and pre-trade analytics Rapid development and deployment
• Data latency and data quality monitoring
• Data cleansing
• Computation of analytics for pre-trade use
Availability, reliability, scalability
23

24. CEP 体系结构
Sybase RAP
&
Sybase CEP
Post Trade Analytics
Database
Stock Exchanges
Market Data Middleware
 NYSE
Order Management Systems
 AMEX
 London Sybase Visualization Tools
Stock
Exchange
CEP
Risk Management Systems
…
Internal
Order Book
24

25. Sybase RAP
SYBASE CEP SERVER ARCHITECTURE &
Sybase CEP
Sybase CEP Studio & SDKs
Sybase CEP Engine
Out-of-process
Out-of-process
Adapters
Adapters
Input Output
Streams Streams
In-process
In-process
Adapters
Adapters
Real-time Clustering SQL-like
Analytics & HA Language
In-Memory Event-Driven Event
Cache Reads/Writes Replay
External Databases & Sybase RAP
Applications
25

26. “CONTINUOUS COMPUTATION Sybase RAP
LANGUAGE – CCL” &
Sybase CEP
▌ Sybase CEP is programmed using CCL, which is very “SQL Like” but
also rich with intuitive streams processing extensions
▌ CCL queries are executed continuously
▌ CCL language has support for stream processing, such as Windows,
which is key for analytics on event streams
▌ Database SQL queries can be executed as part of the CCL language,
and joins between elements in the database and the data stream in CEP
can be done
Example CCL Query
Calculation of INSERT INTO VWAPEventStream
10 minute SELECT StockTickerSymbol,
VWAPS SUM(StockPrice*StockVolume)/SUM(StockVolu
me)
FROM TradesEventStream KEEP 10 MINUTES
GROUP BY StockTickerSymbol
OUTPUT EVERY 10 MINUTES
26

27. Sybase RAP
Sybase RAP – The Trading Edition &
Sybase CEP
 A powerful, flexible market analytics platform for capital
markets
 Enables better trading and portfolio decisions with less risk
through timelier, more comprehensive market insight.
 Shared access to consolidated data across the trade
lifecycle:
 High-performance quantitative analytics
 Real-time trade analytics
 Intra-day risk analytics
 Regulation-driven analytics
27

28. Sybase RAP – The Trading Edition Sybase RAP
&
A Complete Platform for Optimized Performance Sybase CEP
Sybase RAP – The Trading Edition supports different trade
lifecycle analytics requirements by layering various
technologies to optimize performance as needed according
to speed, computational complexity, or types of data.
28

29. Sybase RAP
SYBASE RAP & CEP OPTION &
Sybase CEP
业务定位
完整的 RAP 平台 – 单一厂商
Sybase’s CEP option enables you to quickly deploy live analytic applications that
provide up-to-the-moment intelligence on market and trade data
风险分析 交易及算法支持
Continuous computation of profit and loss on a Pre-trade analytics
trade-by-trade basis, aggregating this
Construct, test and implement real-time models
information across multiple portfolios
and strategies for traders
Real-time calculation of risk at granular and
Comprehensive views into years of granular
summary levels
market, trade and statistical data
Delivery of risk information to the right people at
Rapid deployment of strategies and models into
the right time in the right format
a scalable, real-time infrastructure
29

30. “ 速度”及“深度”
Sybase RAP
&
Sybase CEP
▌Speed – Know there is a material event
happening
▌Depth – Know the risk/reward
▌Sybase CEP = Speed Event
▌Sybase RAP = Speed Analysis + Depth
Sybase RAP
+ Sybase CEP Option
Speed Event + Speed Analysis + Depth
30

31. 议题
Sybase RAP
&
Sybase CEP
▌ 金融行业面临的挑战
▌ 业务的响应
▌ 技术的解决方案
 RAP
 CEP
▌ 金融行业以外的应用
31

32. Sybase RAP
Opportunities Beyond Financial Services &
Sybase CEP
▌电信
 预付费电话授权，欺诈分析，网络监控，入侵检测 / 防
范，会话管理
▌政府，安全及监控
 情报监控，战地协调，国土安全
▌实时供应链 / 物流 / 制造业
 库存准确性，送货确认，质量跟踪
32

33. 金融行业以外的应用
Sybase RAP
&
Sybase CEP
▌交通运输业
 风险控制，调度，派送，路线规划
▌互联网 /Web
 点击流分析，网络游戏，入侵监控 / 防范
▌RFID
 库存管理，集装箱跟踪， ID 牌及安全控制，
33

34. 金融行业以外的应用
Sybase RAP
&
Sybase CEP
▌零售业
 产品关联分析， CRM, 库存管理，订单管理，脱
销， POS
▌媒体和娱乐业
 内容及服务的动态包装，版权付费
▌医疗卫生 / 保险
 资产管理，理赔操作，账单管理，欺诈分析
34

35. 总结 Sybase RAP
&
Sybase CEP
▌ Volume and Velocity are Overwhelming Financial Services
▌ Challenges & Opportunities
 Compliance with RegNMS, MiFID
 New trading strategies
▌ New technology is changing the markets
 Market changes demand new technology, then the new
technology changes the markets
▌ Coming to an IT Department Near You – SOON!
35

36. Sybase RAP
&
Sybase CEP
www.sybase.com/rap
36