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Bruno BELANYI 5f4d1f8125 report: rewrite subject contextualisation
Splitting it into sections makes it more readable, and goes toward
padding the page count...
2021-07-13 20:56:56 +02:00
Bruno BELANYI e18e70f0a9 report: add thanks section 2021-07-13 20:12:25 +02:00
Bruno BELANYI 015d5c76c9 header: fix typo 2021-07-13 20:10:57 +02:00
2 changed files with 109 additions and 32 deletions

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@ -57,4 +57,4 @@
\end{tikzpicture}
}
\rfoot{\thepage}
\cfoot{IMV BV - Bruno BELANYI}
\cfoot{IMC BV - Bruno BELANYI}

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report.md
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@ -2,6 +2,38 @@
# Thanks and acknowledgements
First off, I would like to thank Jelle Wissink, an engineer from the Global
Execution team at IMC. As my mentor, he helped me get acquainted with the
technologies used at IMC, guided my explorations of the problems I tackled, and
was of great help to solve problems I encountered during my internship. I would
also like to thank Erdinc Sevim, the lead of the Global Execution team, for the
instructive presentations about trading and IMC's software architecture.
I would also like to thank:
* Laurent Xu, engineer at IMC: he was the first to tell me about the company,
and referred me for an interview. He also welcomed me to Amsterdam and
introduced me to other French colleagues.
* Étienne Renault, a researcher at EPITA's LRDE: he is in charge of the Tiger
Compiler project, and taught the ALGOREP (Distributed Algorithm) class during
the course of my major. He is one of the most interesting teachers I have met,
his classes have always been a joy to attend. I'm glad to have gotten to know
him through the Tiger maintainer team.
* Élodie Puybareau and Guillaume Tochon, researchers at EPITA's LRDE, and head
teachers of the IMAGE major. They are great teachers, very involved, and always
listening to student feedbacks. They have handled the COVID crisis admirably,
taking into account the safety of their students and the work load imposed upon
them.
* The YAKA & ACU teams, a.k.a. the Teaching Assistant teams for EPITA's first
year of the engineering cycle: being a TA was a great source of learning for me.
It was one of the most fun and memorable experiences I had at the school.
Finally, I would like to thank my parents who have always been there for me,
and my girlfriend Sarah for her unwavering support.
# Introduction
# Subject
@ -38,6 +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.
@ -48,6 +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
@ -55,41 +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
@ -115,6 +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