report/presentation.md

title	author	theme	institute	date	colortheme	fontsize	urlcolor	linkstyle	aspectratio	lang	section-titles	toc	header-includes
IMC Internship	Bruno BELANYI	Frankfurt	EPITA	2021-08-30	seahorse	10pt	blue	bold	169	en-US	true	true	\setbeamertemplate{section page}{% \begingroup% \centering% \begin{beamercolorbox}[sep=12pt,center,colsep=-4bp,rounded=true,shadow=true]{section title}% \usebeamerfont{section title}% \insertsection% \par% \end{beamercolorbox}% \endgroup% } \addtobeamertemplate{navigation symbols}{}{% \usebeamerfont{footline}% \usebeamercolor[fg]{footline}% \hspace{1em}% \insertframenumber/\inserttotalframenumber% }

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

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Results

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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