---
title: "IMC Internship"
author: "Bruno BELANYI"
theme: "Frankfurt"
institute: "EPITA"
date: 2021-08-30
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# Introduction

## IMC & Global Execution team

* Market making firm
* Multiple offices
* Over 20 exchanges

## Subject of the internship

> The project is about benchmarking a new service we're building related to
> exchange connectivity. It would involve writing a program to generate load on
> the new service, preparing a test environment and analyzing the performance
> results. Time permitting might also involve making performance improvements to
> the services.

## Motivation

* Early feedback during development
* Track regressions
* Various scenarios

## Additional work

* Compatibility testing
  * Test both client and gateway processes
  * Test forward and backward compatibility
  * Similar to benchmark in its architecture

# Work accomplished

## Parameters of a run

* Lab setup to mirror production
* Multiple scenarios
* Multiple exchanges and gateways

## Workflow

* Scenarios are exchange-agnostic
* Running a benchmark locally and remotely in a transparent manner
* Single command to run

## Architecture

![Component diagram](figs/component-diagram.png){ height=80% }

## Results

![Sample plots, with timings
censored](figs/remote-plots-presentation-censored.png){ width=90% }

## Compatibility testing

* Existing tests only test single version of client and server in lock step
* Forward and backward compatibility
* Multi-process testing

# Benefits of the internship

## To the company

* Framework to use for benchmarking gateways
  * Nicely integrated in IMC's build system
  * Easy to use for new exchanges
  * Easy to extend with new scenarios
* Ground work on compatibility testing
  * Peace of mind
  * Ensure upgrades/downgrades happen smoothly
  * Reduce downtimes due to failures

## To me

* Part of a good team & company
* Learn about finance sector
* Deal with new problems I had not encountered before

# Conclusion

## Challenges of the internship

* Integration among pre-existing code
* Working conditions due to COVID
* Debugging asynchronous, multi-process systems

## Further work

* Integrate with in-house change-point detection
* Integrate with packet sniffing setup
* More exchanges & scenarios