report: rewrite subject contextualisation

Splitting it into sections makes it more readable, and goes toward
padding the page count...
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Bruno BELANYI 2021-07-13 20:56:37 +02:00
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report.md
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@ -70,6 +70,18 @@ systems and related subjects, I was given this internship project to work on.
# Context of the subject # 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 The exchange connectivity layer must route orders as fast possible, to stay
competitive, reduce transaction costs, and lower latencies which could result in competitive, reduce transaction costs, and lower latencies which could result in
lost opportunities, therefore less profits. 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 X, if product A's cost rise over X's, then it must start selling product B at
price Y. price Y.
## The competition
FIXME: what can I even say about them?
## Strategy
A new exchange connectivity service, called the Execution Gateway, is being 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 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 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 during the entirety of the migration in order to stay competitive, and the only
way to ensure this is to measure it. way to ensure this is to measure it.
With that context, let's review my expected tasks once more, and expand on each ## Roadmap
of them:
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 * Write a dummy load generator: we want to send orders under different
conditions in order to run multiple scenarios which can model varying cases conditions in order to run multiple scenarios which can model varying cases of
of execution. Having more data for varying corner cases can make us more execution. Having more data for varying corner cases can make us more confident
confident of the robustness and efficiency of the service. This is especially of the robustness and efficiency of the service. This is especially needed
needed becaue of the various roles that the gateway must fulfill: not only becaue of the various roles that the gateway must fulfill: not only must it act
must it act as a bridge for the communication between exchanges and traders, as a bridge for the communication between exchanges and traders, but also as an
but also as an order executor. All those cases must be accounted for when order executor. All those cases must be accounted for when writing the different
writing the different scenarios. scenarios.
* Benchmark the system under the load: once we can run those scenarios smoothly * 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 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 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 go from a trading strategy to an exchange. The lower this time, the more
occasions there are to make good trades. occasions there are to make good trades. FIXME: probably more context in my
FIXME: probably more context in my notes notes
* Analyze the measurements: the global execution team has some initial * Analyze the measurements: the global execution team has some initial
expectations of the gateway's performance. A divergence on that part could expectations of the gateway's performance. A divergence on that part could mean
mean that the measurements are flawed in some way, or that the gateway is not 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 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 between mean execution time and the 99th percentile, and analyse the tail of the
the timing distribution: the smaller it is the better. Consistent timing is timing distribution: the smaller it is the better. Consistent timing is more
more important than a lower average, because we must be absolutely confident important than a lower average, because we must be absolutely confident that a
that a trade order is going to be executed smoothly, and introducing trade order is going to be executed smoothly, and introducing inconsistent
inconsistent latency can result in bad trades. 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 # Internship roadmap
@ -147,6 +190,8 @@ I wrote and learned during the previous month.
# Engineering practices # Engineering practices
Problematic: development of a benchmark framework
# Illustrated analysis of acquired skills # Illustrated analysis of acquired skills
# Added value # Added value