Algorithmic Trading

“Follow effective action with quiet reflection.
From the quiet reflection will come even more effective action.”
- Peter Drucker

The extremely time-sensitive nature of program trading activities means that every microsecond represents differentiation and profitability. With enterprise-class content routers that perform the core functions of messaging in purpose-built silicon, Solace provides a hardware-based platform that can help financial institutions dramatically increase the speed and efficiency of their trading environment.

A complete solution for high-volume low-latency messaging must address three requirements: ultra-low-latency data distribution, high-speed guaranteed messaging and the intelligent routing of content. Solace meets these three requirements to provide an ideal solution for your business.

High Volume Low Latency Messaging

Solace’s reliable messaging solution processes the TCP stack in hardware and performs topic filtering and routing of incoming messages in hardware thereby removing the need for filtering messages on each client device. With up to eight Gigabit Ethernet interfaces, Solace’s solution offers very high bandwidth and low serialization delay.

End-to-end latency reduction requires close consideration of all components between publishers and consumers. Solace’s solution can be implemented using a traditional software-based API and standard network switches, or as part of an environment that takes advantage of other hardware solutions such as a feed handler appliance, low latency cut-through switches, and/or client-side TCP offload engines. Each link in the chain provides the opportunity lower latency using special purpose hardware.

Because Solace’s solution performs TCP processing in hardware, it supports high-volume ultra-low-latency market data distribution without the problems associated with multicast, such as difficulty dealing with slow consumers, the administration hassle of managing multicast groups and client-side filtration of unwanted messages. A single Solace content router can absorb and individually filter and route messages to client applications at a rate of greater than five million messages per second – that’s almost 5x the peak rate of all North American exchanges including OPRA.

Guaranteed Messaging for Accelerated Order Execution

Almost all program trading environments require a high-speed guaranteed messaging solution for their order and trade execution infrastructure. Today, many firms use reliable messaging and take the risk of message loss because they cannot tolerate the reduced throughput and substantial latency associated with traditional guaranteed messaging solutions.

Solace overcomes these challenges with patented technology that provides failsafe guaranteed messaging without persisting every message to disk. As a result, Solace’s hardware-based guaranteed messaging solution is an order of magnitude faster than software solutions. It supports up to 130,000 messages a second, and even at a rate of 100,000 messages a second the solution exhibits average latency of just 303 microseconds, and 99th percentile latency of 787 microseconds.

Content Based Routing

Solace’s solution enables sophisticated content-based routing of content across LANs and WANs. Solace’s content routers inspect the full content of every message coming through the routers, match that information with complex routing rules, authenticate who is allowed to receive it, and instructs the router to send it to them — all in just microseconds.

Benefits

  • Faster trades — Lower, more predictable latency—in both the market data distribution and order execution systems—means faster order processing, which translates directly into a competitive advantage for algorithmic systems and, in turn, the fund’s clients.
  • Failsafe at full speed — For the guaranteed messaging requirement of order execution, Solace’s solution runs at rates above 100,000 messages/second, which is often an order of magnitude faster in full failsafe mode than those solutions running with failsafe delivery compromised. For the first time, companies can get failsafe message delivery without sacrificing message rates or latency.
  • Better accommodation of slow consumers – Many software-based solutions struggle when data consumers are offline or slow because they must queue all undeliverable messages to disk, impacting throughput and latency for all other consumers who are operating normally. Solace’s patented hardware solution uses provides a wide range of efficiencies that allow slow or offline consumers to catch up without affecting the performance of the system as a whole.
  • Lower costs — Traditionally, reliable messaging, guaranteed messaging and content routing are deployed as three sets of servers, usually from different vendors and each scaled independently. A single Solace router can consolidates these functions into a single box, replacing 10 to 20 general purpose middleware servers in the process. .This drives savings on many fronts: less hardware to buy and maintain, less software to license, less datacenter power and cooling, and less manpower to operate, patch and maintain racks of servers.
  • Improved management — Solace’s unique hardware can track detailed usage statistics on a per-client basis with no impact on throughput or latency of messages. Solace provides operating transparency of queue depths and message rates by client application, network behavior, distribution link failures and other problems that are often not available using middleware management in software.