report.md

@@ -67,10 +67,10 @@ allowing for further analysis of a single run and comparison of their evolution
 as time goes on.
 
 This initial work being finished, I integrated my framework with the tooling in
-use at IMC to allow for running it more easily, either locally for development
-purposes or remotely for measurements. This is also used to test for breakage in
-the Continuous Integration pipeline, to keep the benchmarks runnable as changes
-are merged into the code base.
+use at IMC to allow for smoother use of the runner, either locally for
+development purposes or remotely for measurements. This is also used to test for
+breakage in the Continuous Integration pipeline, to keep the benchmarks runnable
+as changes are merged into the code base.
 
 Once that was done, I then picked up a user story about compatibility testing:
 with the way IMC deploys software, we want to ensure that both the gateway and
@@ -99,10 +99,10 @@ protocols are normalised into IMC's own protocol messages, and vice versa.
 Here is the list of tasks that I am expected to have accomplished during this
 internship:
 
-* Become familiar with the service.
-* Write a dummy load generator.
-* Benchmark the system under the load.
-* Analyze the measurements.
+* become familiar with the service,
+* write a dummy load generator,
+* benchmark the system under the load,
+* analyze the measurements.
 
 This kind of project is exactly the reason that I was interested in working in
 finance and trading. It is a field that is focused on achieving the highest
@@ -136,15 +136,18 @@ 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, and its
-accompanying *Execution API* to communicate with it, are 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 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.
+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
+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.
 
 ## Roadmap
 
@@ -172,18 +175,20 @@ 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 wire-to-wire 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.
+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 median execution time and the 99th percentile, and analyse the tail of
-the timing distribution: the smaller it is the better. Having a low execution
-time is necessary, however consistent timing also plays an important role to
-make sure that an order will actually be executed by the exchange reliably.
+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
 
@@ -218,12 +223,13 @@ for the benchmark. This has allowed me to get acquainted with their development
 process.
 
 After writing that proof of concept, we were now certain that the benchmark was
-a feasible project, with very few actual dependencies to be run. The low amount
-of external dependencies meant fewer moving parts for the benchmarks, and a
-lower amount of components to setup.\
-For the ones that were needed, I had to write small modules that would model
-their behaviour, and be configured as part of the framework to provide them as
-input to the gateway under instrumentation.
+a feasible project, with very few actual dependencies to be run: the only one
+that we needed to be concerned with it called the RDS server. The RDS server
+is responsible for holding the information about all trade-able instruments at
+an exchange. The gateway connects to it to receive a snapshot of the state of
+those instruments, for example the mapping from IMC IDs to the ones used by the
+exchange. I wrote a small module that could be used as a fake RDS server by the
+benchmark framework to provide its inputs to the gateway being instrumented.
 
 ## The framework
 
@@ -261,18 +267,15 @@ picked up another story related to testing the Execution API. Before then, all
 Execution API implementations were tested using what is called the *method-based
 API*, using a single process to test its behavior. This method was favored
 during the transition period to Execution API, essentially being an interface
-between it and the *drivers* which connect directly to the exchange: it allowed
-for lower transition costs while the rest of the *Execution API* was being
-built.
+between it and the legacy *drivers* which connect directly to the exchange: it
+allowed for lower transition costs while the rest of the execution API
 
 This poses two long-term problems:
 
 * The *request-based API*, making use of a network protocol and a separate
-gateway binary, inherently relies on the interaction between a gateway and its
-clients. None of the tests so far were able to check the behaviour of client and
-server together using this API. Having a way to test the integration between
-both components in a repeatable way that is integrated with the Continuous
-Integration pipeline is valuable to avoid regressions.
+gateway binary, cannot be mocked/tested as easily. Having a way to test the
+integration between client and server in a repeatable way that is integrated
+with the Continuous Integration pipeline is valuable to avoid regressions.
 
 * Some consumers of the *request-based API* in production are going to be in use
 for long periods of time without a possibility for upgrades due to
@@ -341,9 +344,10 @@ the gateway binary in order to instrument it under different scenarios.
 
 I worked on writing those components in a way that was usable for the benchmark,
 making sure that they were working an tested along the way. One such component
-was writing a fake version of the RDS that would be populated from the benchmark
-scenario, which provided the information about financial instruments to the
-gateway in order to use them in the scenario, e.g: ordering a stock.
+was writing a fake version of the RDS (FIXME: what does it mean again?) that
+would be populated from the benchmark scenario, and provided the information
+about financial instruments to the gateway in order to use them in the scenario,
+e.g: ordering a stock.
 
 I went on to write a first version of the benchmark framework for a specific
 gateway and a specific exchange: this served as the basis for further iteration
@@ -366,7 +370,7 @@ framework.
 I have delivered a complete, featureful product from scratch to finish, complete
 with documentation and demonstration of its use. This is at the heart of our
 schooling at EPITA: making us well-rounded engineers that can deliver their work
-to completion.
+to completion. FIXME: wax a bit more poetics
 
 ## Acquiring new skills and knowledge
 
@@ -543,7 +547,7 @@ results directly in more profits being made.
 
 During my internship, I got to work on a large code base, interact with smart
 and knowledgeable colleagues, and tinker on what constitutes the basic bricks of
-IMC's production software.
+IMC's production software (FIXME: phrasing).
 
 Working at IMC was my first experience with such a large code base, a dizzying
 amount of code. It is impossible to wrap you head around *everything* that is
@@ -597,9 +601,9 @@ correct tool set to deal with those problems.
 
 ## Introspection
 
-Working abroad, with the additional COVID restrictions, is a harsh transition
-from the routine of school. However, both the company and the team have made it
-easy to adjust.
+Working abroad, with the additional COVID restrictions, is a harsh (FIXME: find
+softer term) transition from the routine of school. However, both the company
+and the team have made it easy to adjust.
 
 * The daily stand-up meeting, and weekly retrospective seem more important than
 ever when you can potentially not talk to your colleagues for days due to