RSMS Final PresentationRSMS Final PresentationCOMP 415COMP 415

December 5, 2005December 5, 2005

Remember!Remember!Please put in your name for the Please put in your name for the raffle for a free copy of Visual raffle for a free copy of Visual Studio 2005 Professional and SQL Studio 2005 Professional and SQL Server 2005 StandardServer 2005 Standard

““Real World” Software Real World” Software EngineeringEngineering• Fictitious Software CompanyFictitious Software Company

– Six studentsSix students– One semester development cycleOne semester development cycle

• Real Customer: HBK InvestmentsReal Customer: HBK Investments– Student lead customer interactionStudent lead customer interaction

• Conference XP MeetingsConference XP Meetings• Customer Resources Sharepoint Site and E-Customer Resources Sharepoint Site and E-

mailmail• Trip to DallasTrip to Dallas

What does HBK want?What does HBK want?

Stock Market SimulatorStock Market Simulator

– Plug-inPlug-in HBK stock market participants HBK stock market participants– PushPush market information to the clients market information to the clients– InteractInteract with historical market data with historical market data– ImplementImplement some broker behaviors some broker behaviors

A Robust, Scalable, ExtensibleA Robust, Scalable, Extensible

Stock Market OverviewStock Market Overview

• NYSE, NASDAQ, NIKKEINYSE, NASDAQ, NIKKEI• Auction-StyleAuction-Style

– Post BidsPost Bids– Post OffersPost Offers– Transact if they matchTransact if they match

• Time criticalTime critical• Huge data throughputHuge data throughput• Market strategy critical to successMarket strategy critical to success

Development Life CycleDevelopment Life Cycle

DeveloperDeveloper CustomerCustomer

Customer Driven Customer Driven DevelopmentDevelopment• Initial specificationInitial specification• Proof of concept codeProof of concept code• Small development cyclesSmall development cycles

Customer Driven Customer Driven DevelopmentDevelopment

DevelopmentDevelopment Customer FeedbackCustomer Feedback

ReleaseRelease

Development EnvironmentDevelopment Environment• Venture into new technologies and Venture into new technologies and

architecturesarchitectures– .NET Framework 2.0 Development.NET Framework 2.0 Development

(August CTP => RTM)(August CTP => RTM)– Visual Studio 2005 Team Suite EditionVisual Studio 2005 Team Suite Edition– Visual Studio 2005 Team Foundation ServerVisual Studio 2005 Team Foundation Server– SQL Studio 2005 Enterprise Edition/Developer EditionSQL Studio 2005 Enterprise Edition/Developer Edition– Microsoft SharePoint TechnologiesMicrosoft SharePoint Technologies

Development EnvironmentDevelopment Environment

• Unit Testing Capabilities built into the Unit Testing Capabilities built into the Development EnvironmentDevelopment Environment

• Performance ProfilingPerformance Profiling• Refactoring CapabilitiesRefactoring Capabilities• Team Collaboration through Team Collaboration through

SharePoint, Team Foundation ServerSharePoint, Team Foundation Server

Team Foundation ServerTeam Foundation Server

TeamFoundatio

nServer

Team Foundation Server Client

Visual Studio 2005

VersionControl

WorkItems

TeamBuild

SharePointTeamSite

RSMS ArchitectureRSMS Architecture

• Market EngineMarket Engine• Broker LayerBroker Layer• Market Statistics AggregationMarket Statistics Aggregation

MarketMarket

QuoteQuoteServerServer

ClientClient

• Pushes (vs. Polling) Market Pushes (vs. Polling) Market DataData

• Best Bids and OffersBest Bids and Offers• ExtensibleExtensible

• HumanHuman• Historical DataHistorical Data• Unmanaged C++ ClientUnmanaged C++ Client

Quote ServerQuote Server

Market Web ServiceMarket Web Service

Overall ArchitectureOverall Architecture

CLI

EN

TSE

RV

ER

Market Data-StoreMarket Data-Store

Human ParticipantHuman Participant ITCH ParticipantITCH Participant C++ ParticipantC++ Participant

Quote ServerQuote Server

Market Web ServiceMarket Web Service

MarketMarket

CLI

EN

TSE

RV

ER

Market Data-StoreMarket Data-Store

Human ParticipantHuman Participant ITCH ParticipantITCH Participant C++ ParticipantC++ Participant

Data-Store AdaptorData-Store Adaptor

ASP.NET Web ServiceASP.NET Web Service

SQL Server 2005 DatabaseSQL Server 2005 Database

MarketMarket

• Service Oriented Architecture (SOA)Service Oriented Architecture (SOA)• Use of ASP.NET Web ServicesUse of ASP.NET Web Services• Exposes Service ContractsExposes Service Contracts• Stateless ArchitectureStateless Architecture

MarketMarket

• AdvantagesAdvantages– Focus ourselves on exposing services to Focus ourselves on exposing services to

be consumed by othersbe consumed by others– Interoperability between different Interoperability between different

PlatformsPlatforms– Built upon existing technologies such as Built upon existing technologies such as

HTTP, IIS and XMLHTTP, IIS and XML– Scalable ArchitectureScalable Architecture

Market OverviewMarket Overview

RSMS MarketRSMS Market

Web Service ProxyWeb Service Proxy

Data-Store AdaptorData-Store Adaptor

SQL 2005 DatabaseSQL 2005 Database

HTTP/IISHTTP/IIS

Web Service FaçadeWeb Service Façade Quote ServerQuote Server

Roles of the MarketRoles of the Market

• Market EngineMarket Engine– Accepts ordersAccepts orders

• via Web Servicesvia Web Services

– Stores ordersStores orders• via SQL technologyvia SQL technology

– Matches ordersMatches orders• via SQL queriesvia SQL queries

– Generates and Stores transactionsGenerates and Stores transactions– Pushes data to Quote Servers (using Pushes data to Quote Servers (using

MSMQ – Microsoft Message Queuing)MSMQ – Microsoft Message Queuing)

Role of the MarketRole of the Market

• Simulated TimeSimulated Time– Allows the Market to run faster or slower Allows the Market to run faster or slower

than real-time (for Historical Data)than real-time (for Historical Data)

• Broker LayerBroker Layer– Encapsulates Market IntelligenceEncapsulates Market Intelligence

• Market Statistics AggregationMarket Statistics Aggregation– Participant/Stock Statistics, Total Traded Participant/Stock Statistics, Total Traded

Volume/Amount, etc.Volume/Amount, etc.

Quote ServerQuote Server

Market Web ServiceMarket Web Service

Quote ServerQuote Server

CLI

EN

TSE

RV

ER

Market Data-StoreMarket Data-Store

Human ParticipantHuman Participant ITCH ParticipantITCH Participant C++ ParticipantC++ Participant

MSMQMSMQ

Data-Store Adaptor

Data-Store Adaptor

Data-Store AdaptorData-Store Adaptor

ASP.NET Web ServiceASP.NET Web ServiceWindows Application/ServiceWindows Application/Service

SQL Server 2005 DatabaseSQL Server 2005 Database

The Quote ServerThe Quote Server

• Allows Clients toAllows Clients to– Listen to Market EventsListen to Market Events

• New, Modified and Deleted OrdersNew, Modified and Deleted Orders

– Listen to TransactionsListen to Transactions– Listen to Changes in Best Bids/OffersListen to Changes in Best Bids/Offers

• Pushes data to Clients via .NET Pushes data to Clients via .NET RemotingRemoting

Reliable Message PassingReliable Message Passing

• Use of MSMQ (Microsoft Message Use of MSMQ (Microsoft Message Queuing)Queuing)

• Allows a cluster of Market Servers to Allows a cluster of Market Servers to pass messages to another cluster of pass messages to another cluster of Quote Servers using MulticastingQuote Servers using Multicasting

• .NET Programmability Support means .NET Programmability Support means passing of managed objects passing of managed objects (serialized)(serialized)

Scalability ConcernsScalability Concerns• Market (Web Service)Market (Web Service)

– Application can be deployed as Application can be deployed as Web Gardens/Web FarmsWeb Gardens/Web Farms

– Backend SQL Database can also be Backend SQL Database can also be deployed as a fail-over SQL clusterdeployed as a fail-over SQL cluster

– High Availability and ScalabilityHigh Availability and Scalability• Quote Server (Windows Quote Server (Windows

Service/Application)Service/Application)– Application/Service can be deployed on Application/Service can be deployed on

multiple serversmultiple servers– MSMQ Multicasting causes virtually no MSMQ Multicasting causes virtually no

overhead for adding Quote Servers to the overhead for adding Quote Servers to the MarketMarket

The Big PictureThe Big Picture

Offer

Event

Bid

Quote ServersQuote Servers

Market Market Web Service Web Service

ClusterCluster

Market Market Data-StoreData-Store

SQLSQLServerServer

20052005

ASP.NETASP.NETWebWeb

ServiceService

MSMQ IP Message MulticastMSMQ IP Message Multicast

Transact

BenchmarkBenchmark

• Dell Precision WorkstationDell Precision Workstation• Dual Intel Xeon 3.4Ghz ProcessorDual Intel Xeon 3.4Ghz Processor• 1GB DDR2 Ram1GB DDR2 Ram• Western Digital 80GB HardriveWestern Digital 80GB Hardrive• Windows 2003 Enterprise EditionWindows 2003 Enterprise Edition• SQL Server 2005 Enterprise EditionSQL Server 2005 Enterprise Edition• Market Web Service on IIS 6.0Market Web Service on IIS 6.0• Quote Server Enabled (no Clients Quote Server Enabled (no Clients

Connected)Connected)

Benchmark ResultsBenchmark Results

Benchmark ResultsBenchmark Results

Benchmark ResultsBenchmark Results

ServerServer

•Management ConsoleManagement Console–Resetting MarketResetting Market–Viewing/Querying Bids and OffersViewing/Querying Bids and Offers–Browsing Past Transactions and Market Browsing Past Transactions and Market OrdersOrders–Viewing Market StatisticsViewing Market Statistics–Displaying Participant Information and Displaying Participant Information and StatisticsStatistics–Displaying Stock Information and StatisticsDisplaying Stock Information and Statistics

ServerServer

•Benchmarking DemonstrationBenchmarking Demonstration•Load TestingLoad Testing

Quote ServerQuote Server

Market Web ServiceMarket Web Service

ClientClient

CLI

EN

TSE

RV

ER

Market Data-StoreMarket Data-Store

Human ParticipantHuman Participant ITCH ParticipantITCH Participant C++ ParticipantC++ Participant

.NET Remoting.NET Remoting SOAP Web Service CallsSOAP Web Service Calls

Client API OverviewClient API Overview

RSMS Client (Inherits AParticipant)

RSMS Client (Inherits AParticipant)

Policy Enforcer LayerPolicy Enforcer Layer

Initialization & DiscoveryInitialization & Discovery

Unified Data Representation

Unified Data Representation

Market Network AdaptorMarket Network Adaptor

Quote Server AdaptorQuote Server Adaptor

ValidationValidation

The ClientThe Client• Scalable Application FrameworkScalable Application Framework

– Participant APIParticipant API– Enforcer LayerEnforcer Layer

• Major participants:Major participants:– Human ParticipantHuman Participant– Historical Data ParticipantHistorical Data Participant– Unmanaged C++ ParticipantUnmanaged C++ Participant

Human ParticipantHuman Participant ITCH ParticipantITCH Participant C++ ParticipantC++ Participant

The Human ParticipantThe Human Participant

• Post Bids and OffersPost Bids and Offers• Cancel ordersCancel orders• View market eventsView market events

– Market data is pushed to the GUIMarket data is pushed to the GUI

• Graphs market informationGraphs market information

Human ParticipantHuman Participant

The Historical Data The Historical Data ParticipantParticipant• Reads historical data from filesReads historical data from files• Uses parsers for specific file formatsUses parsers for specific file formats

– ITCHITCH

• Uses market time to send ordersUses market time to send orders

ITCH ParticipantITCH Participant

The Unmanaged C++ ClientThe Unmanaged C++ Client

• Interacts with black box Interacts with black box applicationsapplications

• Listens for events from Listens for events from applicationsapplications

• Pushes market data to Pushes market data to applicationsapplications

• External applications are External applications are decoupled from RSMSdecoupled from RSMS C++ ParticipantC++ Participant

Architecture ExtensibilityArchitecture Extensibility

• Architecture decoupled and scalableArchitecture decoupled and scalable– Participant FrameworkParticipant Framework

• Allows any proprietary protocol to interact Allows any proprietary protocol to interact with the marketwith the market

• Easily extendedEasily extended

– Policy Enforcer FrameworkPolicy Enforcer Framework• Transparent and secureTransparent and secure• Ensures participant integrityEnsures participant integrity

– Not specific to any type of marketNot specific to any type of marketExtensible

SecureTransparent

ClientClient

•Initialization FormInitialization Form•Log inLog in•Specify MarketSpecify Market•Specify ParticipantSpecify Participant•Connect to Quote ServerConnect to Quote Server

ClientClient

•Human Participant GUIHuman Participant GUI–Market tabMarket tab–Current bids and offersCurrent bids and offers–SortSort–Cancel bid or offerCancel bid or offer–Post matching bid or offerPost matching bid or offer–External modification of orders pushed to External modification of orders pushed to GUIGUI–Pump historical dataPump historical data–Graphical data analysisGraphical data analysis–Query best prices Query best prices

ConclusionConclusion

MSMQMSMQ .NET Remoting.NET Remoting Pushes Market Pushes Market

EventsEvents ExtensibleExtensible ScalableScalable

Market Web Service Quote Server Client

Architecture Service Oriented Service Oriented

ArchitectureArchitecture High AvailabilityHigh Availability ScalabilityScalability SOAP/XMLSOAP/XML SQL DatabaseSQL Database TransactionsTransactions

ExtensibleExtensible SecureSecure Market AdaptorMarket Adaptor Quote Server AdaptorQuote Server Adaptor Policy EnforcersPolicy Enforcers

Complete Architecture for Stock Market Simulation/Strategy Testing

A Special Thanks to…A Special Thanks to…

Thank you for Coming!Thank you for Coming!And the winner is…And the winner is…