report: add sample results

.gitignore

@@ -1,3 +1,4 @@
 /report.pdf
 /result
 /.pre-commit-config.yaml
+/plantuml-images/

config.yaml

@@ -27,3 +27,5 @@ pdf-engine: pdflatex
 table-of-contents: true
 toc-depth: 1
 number-sections: true
+filters:
+  - pandoc-plantuml

flake.nix

@@ -36,6 +36,8 @@
         buildInputs = with pkgs; [
           gnumake
           pandoc
+          pandoc-plantuml-filter
+          plantuml
           (texlive.combine {
             inherit (texlive)
               scheme-small

report.md

@@ -1,5 +1,95 @@
 # Exec Sum
 
+When making my decision to major in Image Processing and Image Synthesis, my
+main motivator was my growing curiosity for high performance programming, as I
+thought that some of the subjects being taught would lend themselves well to
+furthering my understanding of this domain.\
+On my own, I discovered through a number of conference talks that I watched that
+the field of finance provides many interesting challenges that aligned with
+those interests.
+
+When the opportunity arose to work for IMC, a leading firm in the world of
+*market-making*, I jumped at the chance to apply to them for my internship. When
+asked for the kind of work I wanted to do during that time, I highlighted my
+interests in performance, which lead to the subject of writing a benchmark
+framework for their new exchange connectivity layer, currently in the process of
+being created and deployed.\
+This felt like the perfect subject to learn more about finance, a field I had
+been interested for some time at that point, and get exposed to people that are
+knowledgeable, to cultivate my budding interest in the field.
+
+During my internship, I was part of the *Global Execution* team at IMC, a new
+team that was tasked with working on projects of relevance to multiple desks
+(each of whom is dedicated to working on a specific exchange). Their first
+contribution being to write the *Execution Gateway*, a piece of software that
+should act as the intermediary between IMC's trading algorithm and external
+exchanges. This is meant to replace the current pattern of each auto-trader
+connecting directly to the exchanges to place orders, migrating instead to a
+central piece of infrastructure to do the translation between internal IMC
+protocols and decision, and exchange-facing requests.
+
+As part of this migration process, my mission was to work on providing a simple
+framework that could be used to measure the performance of such a gateway. To do
+so, we must be able to instrument one under various scenarios meant to mirror
+real-life conditions, or exercise edge-cases.
+
+This lead me to first get acquainted with the components that go into running
+the gateway, and what is necessary on the client side to make use of it through
+the *Execution API*, which is in the interface exposed to downstream consumers
+of the gateway: the trading algorithms.\
+Similarly, I learned what the gateway itself needs to be able to communicate
+with an exchange, as I would also need to control that side in the framework to
+allow measurements of the time taken for an order from the client to the
+exchange.\
+To learn about those dependencies, I studied the existing tests for the
+*Execution API*, which bundle client, gateway, and exchange in a single process
+to test their correct behaviour.
+
+Once I got more familiar with each piece of the puzzle, I got to work on writing
+the framework itself. This required writing a few modules that would provide
+data needed as input by the gateway as a pre-requisite to being able to run
+anything. With those done, getting every component running properly was the next
+step. With that done, the last part was to generate some dummy load on the
+gateway, and collecting its performance measurements. Those could be analyzed
+offline, in a more exploratory manner.\
+With that work done, I had delivered my final product relating to my internship
+subject. Taken from a first *Proof-Of-Concept* to a working end result. Along
+the way I learned about the specific needs relating to the usage of those
+benchmarks, and integrated them in the greater IMC ecosystem.
+
+With the initial work on the benchmark framework done, my next area of focus was
+to add compatibility testing for the gateway. The point of this work was to add,
+as part of the *Continuous Integration* pipeline in use at IMC, tests that would
+exercise the actual gateway binaries used in production, to test for both
+forward and backward compatibility. This work fits perfectly as a continuation
+of what I did to write the benchmark framework: both need to run the gateway and
+generate specific scenarios to test its behaviour. This allowed me to reuse most
+of the code what I had written for the benchmark, and apply it to writing the
+tests.\
+The need for reliable tests meant that I had to do a lot of ground work to
+ensure that they were not flaky, this is probably the part that took longest in
+the process, with some deep investigations to understand some subtle bugs and
+behaviours that were exposed by the new tests I was attempting to integrate.
+
+Towards the end of my internship, I presented the work I did on the framework to
+other developers in the execution teams. This was in part to showcase the work
+being done by the *Global Execution* team, and to participate in the regular
+knowledge sharing that happens at IMC.
+
+Joining a company during the COVID period of quarantines, working-from-home, and
+the relatively low amount of face-to-face contact high-lighted the need for
+efficient ways of communicating with my colleagues. Being part of a productive,
+highly driven team has been a pleasure.
+
+Overall, this internship was a great reaffirmation of my career choices. This
+was my first experience with an actual project dealing with performance of
+something actually used in production, and not simply a one-off project to work
+on and leave aside. Being able to contribute something which will be used
+long-term, and have impactful consequences, reassures me in the choice of being
+a software engineer, and the impact of my studies at EPITA.
+
+\newpage
+
 # Thanks and acknowledgements
 
 First off, I would like to thank Jelle Wissink, an engineer from the Global
@@ -49,9 +139,9 @@ In the face of continuous improvement of their system, the performance aspect of
 any upgrade must be kept at the forefront of the mind in order to stay
 competitive, and rise to a dominant position globally.
 
-My project fits into the migration of IMC's trading algorithms from their legacy
+My project fits into the migration of IMC's trading algorithms from their
-*driver* connecting each of them directly to the exchanges, to a new central
+individual *drivers* connecting each of them directly to the exchanges, to a new
-service being developed to translate and interface between IMC-internal
+central service being developed to translate and interface between IMC-internal
 communication and exchange-facing orders, requests, and notifications.
 
 Given the scale of this change, and how important such a piece of software is in
@@ -305,7 +395,8 @@ across the team. This work was two-fold:
 * Do a presentation about the benchmark framework: because it only contains the
 tools necessary as the basis for running benchmarks, other engineers will need
 to pick it up to write new scenarios, or implement the benchmark for new
-exchanges. To that end, I FIXME
+exchanges. To that end, I presented my work, demonstrated its ease of use and
+justified some design decisions.
 
 * How to debug problems in benchmarks and compatibility test runs: due to the
 unconventional setup required to run those, investigating a problem when running
@@ -316,7 +407,41 @@ used to debug problems I encountered during their development.
 
 ## Gantt diagram
 
-FIXME
+```plantuml
+@startgantt
+
+ganttscale weekly
+
+Project starts 2021-03-01
+
+-- Team 1 --
+[Discovering the codebase] as [Discover] lasts 14 days
+then [Proof Of Concept] as [POC] lasts 7 days
+then [Model RDS Server] as [RDS] lasts 14 days
+then [Framework v0] as [v0] lasts 14 days
+then [Refactor to v1] as [v1] lasts 14 days
+then [Initial results analysis] as [Analysis] lasts 7 days
+then [Dumping internal measurements] as [EventAnalysis] lasts 7 days
+then [Benchmark different gateway] as [NNF] lasts 14 days
+
+[Compatibility testing] starts 2021-05-30
+note bottom
+Fixing bugs
+Reducing flakiness
+end note
+[Compatibility testing] ends 2021-08-15
+
+[Intern week] starts 2021-06-28
+note bottom
+Learn about option theory
+end note
+[Intern week] ends 2021-07-04
+
+[Holidays] starts 2021-08-16
+[Holidays] ends 2021-09-01
+
+@endgantt
+```
 
 # Engineering practices
 
@@ -677,3 +802,10 @@ algorithms, it makes use of its execution platform to provide liquidity to
 financial markets globally.
 
 ## Results & Comments
+
+![Sample plots, with timings censored](figs/remote-plots-presentation-censored.png)
+
+The figure above showcases a few sample results that can be obtained by using
+the benchmark framework. The gateway keeps track of some internal events and
+their timings, and reports them back to the benchmark which will dump the data
+and allow for further analysis.