report: rewrite subject contextualisation

Splitting it into sections makes it more readable, and goes toward
padding the page count...

report.md

@@ -70,6 +70,18 @@ systems and related subjects, I was given this internship project to work on.
 
 # Context of the subject
 
+## Company trade
+
+IMC, as its name suggests, is a market maker. It is specialised in providing
+liquidity in the market by quoting both sides of the market, and profit off the
+trades they make while providing this service.
+
+One key ingredient to this business is latency: due to the competitive nature of
+the market, we must process the incoming data and execute orders fast enough not
+to get *picked off the market* with a bad position.
+
+## Service
+
 The exchange connectivity layer must route orders as fast possible, to stay
 competitive, reduce transaction costs, and lower latencies which could result in
 lost opportunities, therefore less profits.
@@ -80,6 +92,12 @@ conditional orders with this service: it must monitor the price of product A and
 X, if product A's cost rise over X's, then it must start selling product B at
 price Y.
 
+## The competition
+
+FIXME: what can I even say about them?
+
+## Strategy
+
 A new exchange connectivity service, called the Execution Gateway, is being
 built at IMC, the eventual goal being to migrate all trading strategies to using
 this gateway to send orders to exchanges. This will allow it to be scaled more
@@ -87,41 +105,66 @@ appropriately. However, care must be taken to maintain the current performance
 during the entirety of the migration in order to stay competitive, and the only
 way to ensure this is to measure it.
 
-With that context, let's review my expected tasks once more, and expand on each
-of them:
+## Roadmap
+
+With that context, let's review my expected tasks once more, and expand on each
+of them to get the roadmap:
+
+* Become familiar with the service: before writing the code for the benchmark I
+must first understand what goes into the process of a trade at IMC, what is
+needed from the gateway and from the clients in order to run them and execute
+orders. There is a lot of code at IMC: having different teams working at the
+same time on different trading service results in a lot of churn. The global
+execution team was created to centralise the work on core services that must be
+provided to the rest of the IMC workforce. The global execution gateway is one
+such project, aiming to consolidate all trading strategies under one singular
+method to send orders to their exchanges.
 
-* Become familiar with the service: before writing the code for the benchmark
-  I must first understand what goes into the process of a trade at IMC, what is
-  needed from the gateway and from the clients in order to run them and execute
-  orders. There is a lot of code at IMC: having different teams working at the
-  same time on different trading service results in a lot of churn. The
-  global execution team was created to centralise the work on core services that
-  must be provided to the rest of the IMC workforce. The global execution
-  gateway is one such project, aiming to consolidate all trading strategies
-  under one singular method to send orders to their exchanges.
 * Write a dummy load generator: we want to send orders under different
-  conditions in order to run multiple scenarios which can model varying cases
-  of execution. Having more data for varying corner cases can make us more
-  confident of the robustness and efficiency of the service. This is especially
-  needed becaue of the various roles that the gateway must fulfill: not only
-  must it act as a bridge for the communication between exchanges and traders,
-  but also as an order executor. All those cases must be accounted for when
-  writing the different scenarios.
+conditions in order to run multiple scenarios which can model varying cases of
+execution. Having more data for varying corner cases can make us more confident
+of the robustness and efficiency of the service. This is especially needed
+becaue of the various roles that the gateway must fulfill: not only must it act
+as a bridge for the communication between exchanges and traders, but also as an
+order executor. All those cases must be accounted for when writing the different
+scenarios.
+
 * Benchmark the system under the load: once we can run those scenarios smoothly
-  we can start taking multiple measurements. The main one that IMC is interested
-  in is wall-to-wall latency (abbreviated W2W): the time it takes for a trade to
-  go from a trading strategy to an exchange. The lower this time, the more
-  occasions there are to make good trades.
-  FIXME: probably more context in my notes
+we can start taking multiple measurements. The main one that IMC is interested
+in is wall-to-wall latency (abbreviated W2W): the time it takes for a trade to
+go from a trading strategy to an exchange. The lower this time, the more
+occasions there are to make good trades. FIXME: probably more context in my
+notes
+
 * Analyze the measurements: the global execution team has some initial
-  expectations of the gateway's performance. A divergence on that part could
-  mean that the measurements are flawed in some way, or that the gateway is not
-  performing as expected. Further analysis can be done to look at the difference
-  between mean execution time and the 99th percentile, and analyse the tail of
-  the timing distribution: the smaller it is the better. Consistent timing is
-  more important than a lower average, because we must be absolutely confident
-  that a trade order is going to be executed smoothly, and introducing
-  inconsistent latency can result in bad trades.
+expectations of the gateway's performance. A divergence on that part could mean
+that the measurements are flawed in some way, or that the gateway is not
+performing as expected. Further analysis can be done to look at the difference
+between mean execution time and the 99th percentile, and analyse the tail of the
+timing distribution: the smaller it is the better. Consistent timing is more
+important than a lower average, because we must be absolutely confident that a
+trade order is going to be executed smoothly, and introducing inconsistent
+latency can result in bad trades.
+
+## Internship positioning amongst company works
+
+My work was focused on providing a framework to instrument gateways under
+different scenarios.
+
+Once that framework is built, to be effective it must be integrated in the
+existing Continuous Integration platform used at IMC. This enables us to track
+breaking changes and, eventually, be notified of performance regressions.
+That last part is yet to be done, needing to be integrated with the new change
+point detection tool currently being developed internally. Once that is done, we
+can feed the performance results to automatically see when a regression has been
+introduced into the system.
+
+With the knowledge I gained working on this project, my next task was to add
+compatibility testing to ensure backward and forward compatibility of the
+clients and gateways. This meant having to run the existing tests using the
+actual production binaries of the gateway, and making sure the tests keep
+working across versions. This is very similar to the way the benchmarks work,
+and I could reuse most of the tools developed for the framework to that end.
 
 # Internship roadmap
 
@@ -147,6 +190,8 @@ I wrote and learned during the previous month.
 
 # Engineering practices
 
+Problematic: development of a benchmark framework
+
 # Illustrated analysis of acquired skills
 
 # Added value