Monday, 20 April 2015

MODELs & Generated Code

Hand cranked codecs are a pain to write and a pain to upgrade, I have written many over the years !The solution is to generate the code.

An XML model defines the internal model with POJO's that all components can work with eg NewOrderSingle, NewOrderAck, TradeNew. It also defines external models which can be client or exchange, FIX variants or binary protocols such as ETS, Millenium, UTP etc. Finally it defines codecs which specify how to translate external model to/from internal model.

Sample Internal Event for a New Order Single

<Base id="BaseOrderRequest" src="client" extends="CommonClientHeader">
<Attribute typeId="Instrument"name="instrument"mandatory="Y"outbound="delegate"/>
<Attribute typeId="ClientProfile"name="client"mandatory="Y"outbound="delegate"/>
<Attribute typeId="viewstring[CLORDID_LENGTH]"tag="11"name="clOrdId"mandatory="Y"outbound="delegate"/>
<Attribute typeId="viewstring[CLORDID_LENGTH]"tag="41"name="origClOrdId"mandatory="Y"outbound="delegate"/>
<Attribute typeId="viewstring[SECURITYID_LENGTH]" tag="48"name="securityId"mandatory="Y"outbound="delegate"/>
<Attribute typeId="viewstring[SYMBOL_LENGTH]"tag="55"name="symbol"mandatory="Y"outbound="delegate"/>
<Attribute typeId="Currency"tag="15"name="currency"mandatory="N"outbound="seperate"/>
<Attribute typeId="SecurityIDSource"tag="22"mandatory="Y"outbound="delegate"/>
<Attribute typeId="UTCTimestamp"tag="60"name="transactTime" mandatory="Y"outbound="delegate"/>
<Attribute typeId="UTCTimestamp"tag="52"name="sendingTime"outbound="seperate"/>
<Attribute typeId="Side"tag="54"mandatory="Y"outbound="delegate"/>
<Attribute typeId="viewstring[SRC_LINKID_LENGTH]"name="srcLinkId"mandatory="N"outbound="delegate"/>
</Base>
<Base id="OrderRequest" src="client" extends="BaseOrderRequest">
<Attribute typeId="viewstring[ACCOUNT_LENGTH]"tag="1"name="account"mandatory="N" outbound="delegate"/>
<Attribute typeId="viewstring[TEXT_LENGTH]"tag="58"name="text"mandatory="N" outbound="delegate"/>
<Attribute typeId="viewstring[EXDESTINATION_LENGTH]"tag="100" name="exDest"mandatory="N" outbound="delegate"/>
<Attribute typeId="viewstring[SECURITYEXCH_LENGTH]"tag="207" name="securityExchange" mandatory="N" outbound="delegate"/>
<Attribute typeId="double"tag="44"name="price"mandatory="Y"outbound="seperate"/>
<Attribute typeId="int"tag="38"name="orderQty"mandatory="Y"outbound="seperate"/>
<Attribute typeId="ExecInst"tag="18"outbound="delegate"/>
<Attribute typeId="HandlInst"tag="21"outbound="delegate"/>
<Attribute typeId="OrderCapacity"tag="528"outbound="seperate"/>
<Attribute typeId="OrdType"tag="40"mandatory="Y"outbound="delegate"/>
<Attribute typeId="SecurityType"tag="167"outbound="delegate"/>
<Attribute typeId="SecurityIDSource"tag="22"outbound="delegate"/>
<Attribute typeId="TimeInForce"tag="59"outbound="delegate"/>
<Attribute typeId="BookingType"tag="775"outbound="delegate"/>
<Attribute typeId="long"name="orderReceived" mandatory="Y"outbound="delegate"/>
<Attribute typeId="long"name="orderSent"mandatory="Y"outbound="delegateGetAndSet"/>
</Base>

<Event id="NewOrderSingle" extends="OrderRequest" src="client">
<Attribute typeId="viewstring[CLORDID_LENGTH]"tag="11"name="clOrdId"mandatory="Y"outbound="seperate"/>
</Event>

Sample external definition for a New Order in ETI … note each field must have a dictionary entry which defines its type in the external model.

<Message id="NewOrderRequestSimple"msgType="10125">
<Field id="msgSeqNum"mand="Y"/>
<Field id="senderSubID"mand="Y"/>
<Field id="price"mand="Y"/>
<Field id="senderLocationID"mand="N"/>
<Field id="clOrdId"mand="Y"/>
<Field id="orderQty"mand="Y"/>
<Field id="filler1c"len="4"/><!-- maxShow tag210 -->
<Field id="simpleSecurityID"mand="Y"/>
<Field id="accountType"mand="N"/>
<Field id="side"mand="Y"/>
<Field id="priceValidityCheckType"mand="Y"/>
<Field id="timeInForce"mand="Y"/>
<Field id="execInst"mand="Y"/>
<Field id="uniqueClientCode"mand="N"/>
<Field id="filler3"len="3" comment="pad3"/>
</Message>

Sample CODEC for a New Order in BSE ETI

<MessageMap id="BaseBSEOrder" messageId="" ignore="true" extends="BaseRequest">
<Map field="marketSegmentID"><Hook type="encode" code="encodeMarketSegmentID( msg.getInstrument() )"/></Map>

<Map eventAttr="securityId" field="simpleSecurityID">
<Hook type="encode" code="encodeSimpleSecurityId( msg.getInstrument() )"/>
<Hook type="decode" code="_securityId = _builder.decodeUInt()"/>
</Map>

<Map field="priceValidityCheckType"><Hook type="encode" code="_builder.encodeByte( (byte)0 )"/></Map>
<Map field="accountType"><Hook type="encode" code="_builder.encodeByte( (byte)20 )"/></Map>
<Map field="maxPricePercentage"><Hook type="encode" code="_builder.encodePrice( 0.5 )"/></Map>
<Map field="senderLocationID"><Hook type="encode" code="_builder.encodeLong( _locationId )"/></Map>
<Map field="orderCapacity"><Hook type="encode" code="_builder.encodeByte( (byte)1 )"/></Map>
<Map field="positionEffect"><Hook type="encode" code="_builder.encodeByte( (byte)'C' )"/></Map>
<Map field="account"><Hook type="encode" code="_builder.encodeStringFixedWidth( _account, 2 )"/></Map>
<Map field="applSeqIndicator"><Hook type="encode" code="_builder.encodeByte( (byte)0 )"/></Map>
<Map field="execInst"><Hook type="encode" code="_builder.encodeByte( (byte)2 )"/></Map>
<Map field="uniqueClientCode">
<Hook type="encode" code="_builder.encodeStringFixedWidth( _uniqueClientCode, 12 )"/>
<Hook type="decode" code="_builder.skip( 12 )"/>
</Map>
</MessageMap>

<MessageMap id="NewLimitOrder"eventId="NewOrderSingle" messageId="NewOrderRequestSimple" extends="BaseBSEOrder" encodeFunc="encodeNOS">
<Map field="productComplex"><Hook type="encode" code="_builder.encodeByte( (byte)1 )"/></Map>
<Hook type="postDecode" code="enrich( msg ) ; msg.setOrdType( OrdType.Limit )"/>
</MessageMap>

Note hooks allow overriding of the default code generation which is based on comparing the internal model dictionary entry with the external model dictionary entry. Map entries are only added for fields that don’t want the default behaviour.

Sample Generated Encoder for NOS :-

public final void encodeNewLimitOrder( final NewOrderSingle msg ) {
final int now = _tzCalculator.getNowUTC();
_builder.start( MSG_NewOrderRequestSimple );
if ( _debug ) {
_dump.append( "encodeMap=" ).append( "NewOrderRequestSimple" ).append( "eventType=" ).append( "NewOrderSingle" ).append( " : " );
}

if ( _debug ) _dump.append( "\nField: " ).append( "msgSeqNum" ).append( " : " );
_builder.encodeUInt( (int)msg.getMsgSeqNum() );
if ( _debug ) _dump.append( "\nHook : " ).append( "senderSubID" ).append( " : " ).append( "encode" ).append( " : " );
_builder.encodeUInt( _senderSubID ); // senderSubID;
if ( _debug ) _dump.append( "\nField: " ).append( "price" ).append( " : " );
_builder.encodeDecimal( msg.getPrice() );
if ( _debug ) _dump.append( "\nHook : " ).append( "senderLocationID" ).append( " : " ).append( "encode" ).append( " : " );
_builder.encodeLong( _locationId );
if ( _debug ) _dump.append( "\nField: " ).append( "clOrdId" ).append( " : " );
_builder.encodeStringAsLong( msg.getClOrdId() );
if ( _debug ) _dump.append( "\nField: " ).append( "orderQty" ).append( " : " );
_builder.encodeQty( (int)msg.getOrderQty() );
if ( _debug ) _dump.append( "\nField: " ).append( "filler1c" ).append( " : " );
_builder.encodeFiller( 4 );
if ( _debug ) _dump.append( "\nHook : " ).append( "simpleSecurityID" ).append( " : " ).append( "encode" ).append( " : " );
encodeSimpleSecurityId( msg.getInstrument() );
if ( _debug ) _dump.append( "\nHook : " ).append( "accountType" ).append( " : " ).append( "encode" ).append( " : " );
_builder.encodeByte( (byte)20 );
if ( _debug ) _dump.append( "\nField: " ).append( "side" ).append( " : " );
_builder.encodeByte( transformSide( msg.getSide() ) );
if ( _debug ) _dump.append( "\nHook : " ).append( "priceValidityCheckType" ).append( " : " ).append( "encode" ).append( " : " );
_builder.encodeByte( (byte)0 );
if ( _debug ) _dump.append( "\nField: " ).append( "timeInForce" ).append( " : " );
final TimeInForce tTimeInForceBase = msg.getTimeInForce();
final byte tTimeInForce = ( tTimeInForceBase == null ) ?DEFAULT_TimeInForce : transformTimeInForce( tTimeInForceBase );
_builder.encodeByte( tTimeInForce );
if ( _debug ) _dump.append( "\nHook : " ).append( "execInst" ).append( " : " ).append( "encode" ).append( " : " );
_builder.encodeByte( (byte)2 );
if ( _debug ) _dump.append( "\nHook : " ).append( "uniqueClientCode" ).append( " : " ).append( "encode" ).append( " : " );
_builder.encodeStringFixedWidth( _uniqueClientCode, 12 );
if ( _debug ) _dump.append( "\nField: " ).append( "filler3" ).append( " : " );
_builder.encodeFiller( 3 );
_builder.end();
}


Sample debug log output … essential for debugging the model when testing exchange connectivity.

{ENCODE msgType=10125encodeMap=NewOrderRequestSimpleeventType=NewOrderSingle :
Field: msgSeqNum : uint 10,bytes=4, offset=16, raw=[ 0A 00 00 00 ]
Hook : senderSubID : encode : uint 810701002,bytes=4, offset=20, raw=[ CA 50 52 30 ]
Field: price : decimal 62.9,bytes=8, offset=24, raw=[ 80 C8 E9 76 01 00 00 00 ]
Hook : senderLocationID : encode : long 1234567890123456,bytes=8, offset=32, raw=[ C0 BA 8A 3C D5 62 04 00 ]
Field: clOrdId : stringAsLong 38470008(len=8),bytes=8, offset=40, raw=[ 78 01 4B 02 00 00 00 00 ]
Field: orderQty : qty 10,bytes=4, offset=48, raw=[ 0A 00 00 00 ]
Field: filler1c : fillerlen=4,bytes=4, offset=52, raw=[ 00 00 00 00 ]
Hook : simpleSecurityID : encode : int 1000627,bytes=4, offset=56, raw=[ B3 44 0F 00 ]
Hook : accountType : encode : byte ^T,bytes=1, offset=60, raw=[ 14 ]
Field: side : byte ^A,bytes=1, offset=61, raw=[ 01 ]
Hook : priceValidityCheckType : encode : byte ^@,bytes=1, offset=62, raw=[ 00 ]
Field: timeInForce : byte ^@,bytes=1, offset=63, raw=[ 00 ]
Hook : execInst : encode : byte ^B,bytes=1, offset=64, raw=[ 02 ]
Hook : uniqueClientCode : encode : stringFixedWidth OWN(len=12),bytes=12, offset=65, raw=[ 4F 57 4E 00 00 00 00 00 00 00 00 00 ]
Field: filler3 : fillerlen=3,bytes=3, offset=77, raw=[ 00 00 00 ]
} bytes=80

16:15:12.445 [info]
OUT [exchangeSession1]:
0000 P....'...............PR0...v.......<.b..x.K.......
0050 .......D.......OWN............
0100
11020304050
OUT [exchangeSession1]:
0000 50 00 00 00 8D 27 00 00 00 00 00 00 00 00 00 00 0A 00 00 00 CA 50 52 30 80 C8 E9 76 01 00 00 00 C0 BA 8A 3C D5 62 04 00 78 01 4B 02 00 00 00 00 0A 00
0050 00 00 00 00 00 00 B3 44 0F 00 14 01 00 00 02 4F 57 4E 00 00 00 00 00 00 00 00 00 00 00 00
0100
12345678910 11 12 13 14 15 16 17 18 19 20 21 22 23 24 25 26 27 28 29 30 31 32 33 34 35 36 37 38 39 40 41 42 43 44 45 46 47 48 49 50
byteCount=80

16:15:12.445 [info]OUT [exchangeSession1]: NewOrderSingleImpl , clOrdId=38470008, account=, text=, exDest=, securityExchange=, price=62.9, orderQty=10, execInst=null, handlInst=null, orderCapacity=null, ordType=Limit, securityType=, securityIDSource=, timeInForce=Day, bookingType=null, orderReceived=[null], orderSent=[null], instrument=1000627, client=, origClOrdId=, securityId=, symbol=, currency=, transactTime=[null], sendingTime=[null], side=Buy, srcLinkId=, onBehalfOfId=, msgSeqNum=10, possDupFlag=N



Because the code is generated for both encoding and decoding, then the exchange simulator can simulate any exchange in the model.

I wrote the code generator from scratch in a couple of weeks, its completely custom and not general purpose.

The resulting internal POJO's interfaces, and CODEC's for external to internal translation result in over 100,000 lines of generated high quality code.



SubMicroTrading (SMT) Overview



I will relate a lot to the SubMicroTrading code base so an overview will help.

If enough people start following this blog I will share the "secrets" to building ultra low latency systems and start open sourcing code including the SubMicroFix engine ... possibly the fastest fix engine on the planet !

SubMicroTrading has been in development for over 4 years but is now on hold. It has been connected for testing to Eurex and CME and BSE but its not in production anywhere. Put that down to me being a technologist and a lousy marketer in what is after all a fairly small and difficult to approach market.


To summarise it’s a scalable, component based ultra low latency trading framework. It has Order Management, Market Data Sessions, Trading Sessions and all you need to build ultra low latency trading systems.

  1. AntiSpring . . . application bootstrapper, property file based, GC free, interceptor/proxy free, simple zero runtime overhead, component loader supporting dependency injection.
  2. Async Flexible Logger (copes with massive activity bursts 100,000+ log events per second mitigating GC).
  1. MemoryMapped Persistence with ISAM, with jitter avoidance when switching pages (can also free pages without GC finalisation) ... used for recoverable indexed session persistence.
  1. Low level utilities and GC free collections e.g. Int2IntMap, pooling pattern, java thread affinity, spinning thread multiplexors.
  1. SubMicroFix (sub microsecond fix engine, includes session state management, JMX admin, generated encoders/decoders). Tested against CME.
  1. Native binary trading session support (sub microsecond) for ETI (Eurex/BSE), FIX, Millennium, UTP.
  1. Native Market Data session support for FastFix tested with CME and BSE pcaps, SBE, ITCH.
  1. Session Drop copy support.
  1. Order Management System (sub-microsecond, support for in-line client limits, trade cancel/corrections and exchange normalisation .. excludes non latency sensitive trading functionality such as GTD orders).
  1. Basic Exchange simulator (can simulate any exchange in the model).
  1. Scalable Market Data Controller and Book conflation .. strategy snaps book to avoid mistrading due to concurrent book update during strategy cycle.
  1. Trading GUI shows price blotter, market orders, executions and supports multiple on-screen full depth books.
  2. Core strategy framework, include CME session loader to generate CME sessions on the fly as required by strats.
  1. Core strategy extensions with Spread Arbitrage Example and useful pipeline scalability example.
  1. Code Generator

Book Management - for an algo trading system this is the most critical component. The Book needs to asynchronously allow updates while minimising potential for blockage by strats using the book.
SMT uses conflation to prevent strategies having to process old ticks. When a strategy is processing a tick update it snaps the book taking a local copy (SMT optimizes this so a snap is shareable with no contention) to allow strategy to process the book atomically. After all if a strategy is acting on a BBO where the ask changes after it has just read the bid is a high level risk.

SubMicroTrading can process over 800,000 market data tick updates per core per second. Can decode a fast fix message in nanoseconds. Update a book in nanoseconds and encode an order to market in nanoseconds.

The SubMicroTrading system (with Intel servers from 2013) has been measured in a controlled lab with TipOff, wire to wire for "tick to trade" with average of 4 microseconds at a rate of 800,000 ticks per second (that includes UDP tick hop thru Solarflare on OpenOnload and TCP order hop total overhead of over 2+ micros).

Redline, Chronicle, Onyx, FixNetix all have part of the above functionality. They are all used currently in production systems and have full time support. SubMicroTrading has not been proven in production, but it is provided with exchange simulator and its performance can easily be proven. Dont forget also that the SOURCE CODE is available. Many of the techniques I used have been proven in production eg object pooling, CPU spinning etc. As for which is quickest ... that I would expect to depend on the trading scenario ... peak tick rates, number of market data sessions, number of actively ticking books, number of orders generated per second, number of concurrent strategies triggered per tick.



Subscribe to: Comments (Atom)

AltStyle によって変換されたページ (->オリジナル) /