NYU Course Proposal – ULL Architectures for Electronic Trading

NYU

NYU School of Professional Studies – course proposal – Ted Hruzd July 2016
ULL (Ultra Low Latency) Architectures for Electronic Trading

***if interested in this course
contact me- tedhruzd@gmail.com

***no confidential info
from current or former employers are listed
here or will be taught

Course Objectives
Develop advanced skills in architecting electronic trading and market data applications for ultra low latency, for competitive advantage, and for positive ROI. At end of course one will have developed expertise in end-end architecture of electronic trading infrastructure, including architecting of:

• Multi core, high speed cache Intel based servers
• Linix kernel and NIC tuning
• Kernel bypass technologies including RDMA and LDMA
• Single tier (or simplified spine-leaf networks)
• Layer 1 network switches
• SDN (Software Defined Networks)
• New binary FIX protocol for ULL order routing
• ULL messaging middleware
• ULL software design
• Databases – structured and unstructured
• Storage, including NVME Flash
• Tools (some free) to attain performance optimization insights
• Network appliances for detailed timings – network, market data, and order routing
• Big Data and Event Stream processing, real time analytics for seeking alpha (trade opportunities)
• ROI analysis

PreReq – Intermediate – advanced knowledge of
• TCP/IP, UDP, multicast,
• Linux OS and shell or scripting (ex bash, perl),
• Intel servers
• Network routers, switches
• FIX protocol
• Market Data
• Visio
• R programming (nice to have. Will use basics that one can learn in 1-2 hours),
• at least 2 years working with electronic trading applications/infrastructures as Developer, SA, network admin/engineer, Architect, QA analyst, tech project mgr, operations engineer, manager, CTO, CIO, CEO, vendor or consultant providing technology to Wall Street IT

Course Logistics
• 6-8 week course, to meet once a week for 3 hours.
• Tech book(s) to download to kindle TBD
• Multiple web site links to technical white papers and tech analyses
• Visio
• Homework every week, to be reviewed in class for 30 minutes, after submission
All homework will describe real world problems or architectures to build and justify. Answers will include creating Visio diagrams to solve, list infrastructure designs and reconfigurations, and performance tuning of OS, servers, NIC’s, networks, application design
• Last week: Final exam, 60 minutes, followed by 2 hour session devoted to strategic futures of ULL electronic trading and analytics seeking alpha.

Topic 1 INTRO
• Visio of a co-lo algo trading application – infrastructure – goal 500 ms order Ack times
• Why speed of processing is still relevant
• High speed real time analytics for alpha and infrastructure analytics
• Level 1 switch with integrated cores and FPGA for risk checks
• Level 2/3 aggregation
• Exchange connectivity

Topic 2 OS, SERVERS, SOFTWARE

• Kernel bypass, RDMA, LDMA
• How SolarFlare OpenOnLoad NICs provide kernel bypass
• Kernel and NIC tuning
• Programming with Multiple core multi thread, parallelism
• Vectorize application code
• Design – Internal vector, outer parallel
• Servers, sockets, cores, caches
• Core speeds GHz vs more cores, larger and faster caches
• Over clocked servers – features and what applications can benefit
• Linux, Solaris, Windows, other ex SmartOS, Mesosphere DC OS
• How to benchmark performance, analyze, tune
• Free utilities and tools for performance analysis
• NUMA aware processes and threads
• Optimize cache assignments per high priority threads
• Numastat utility, how to interpret and use for performance optimization
• Why traditional cloud architectures fall short for ULL
• Cloud for analytics – pitfalls vs best practices
• Micro services potential
• Intel technologies including …
• AVX-512 deep vector instructions
• TBB thread Building blocks
• Omni-Path high speed / bandwidth interconnect and QPI
• PCIE
• NVME
• Flash SSD Drives
• C ++ vs Java for ULL
• Lists vs vectors
• Iterate lists
• C/C++, Java, Python, CUDA, FPGA, other
• Java 8 new streams API and lambda expressions – for analytics

Topic 3 – Networks

• TCP, UDP, multicast (MC), then analysis via WireShark, Corvil
• New age networks – Spine leaf to single tier
• SDN (Software Defined Networks)
• Pico – ULL SDN vendor
• Cisco and Arista switches for ULL
• Switches with deep buffers, great for Big Data Analytics
• Configure Routers for ULL – LLDP, MLAG, VRRP, VARP (active-active L3 gateway)
• Network protocols – BGP, OSPF, HSRP
• Arista 7124FX with EOS
• Plexxi switches – a disruptive technology – single tier
• Plexxi optimal bandwidth via its SDN

Topic 4 Analytics and Market Data
• Databases – Never in the path of ULL
• Column based (contiguous memory) vs relational
• KDB and OneTick – leading players in high speed market data tick databases
• EVENT STREAM PROCESSING (ESP) – use ESP To seek alpha
• Combine market data with News sentiment analytics to seek alpha,
• Intro to Ravenpack news sentiment analytics
• Intro to Spark
• In-mem analytics ex HANA, Spark
• Corvil – intro to how to configure Corvils and how to analyze FIX order flow with it
• Machine learning, neural networks in R or Python – create equations to project latencies
• Machine learning for Latency analysis, tuning insight, seeking alpha -trade opportunities

• Market Data
• Hardware accelerated appliances for ULL and deterministic performance
• Feeds in FPGA
• Switch crossbars or Caches for fan out with TCP distribution
• Multicast considerations
• Message based appliances
• Direct feed normalization
• Conflation to conserve bandwidth
• NBBO
• Levels 1 and 2
• Depth of book builds
• Smart order routers
• Exablaze NICs and switches v Metamako switches
• ENYX FPGA NICs and Appliances for market data and order flow
• Nova Sparks FPGA based market data ticker
• Other products — Exegy, Algo logic, Redline, SR labs
• Consolidated feed vendors Bloomberg and Thomson Reuters

Topic 5 Middleware and FIX protocol
• 60 West AMPS
• 29 East UME
• New FIX Binary protocol in beta promises to lower latencies

Topic 6 Hardware Acceleration
• Intro to how FPGA’s work and how to program
• Why performance tends to be very deterministic
• Pitfalls of FPGA’s
• FPGA’s vs multi cores

Topic 7 Performance Tuning
• VM (Virtual Memoey) and page flushes, optimize market data caches
• Slow network connections and packet drops

Topic 8 END-END ARCHITECTURES
• Co-Lo with 500 ns order ack times (revisited with our new knowledge)
• Dark pools
• Algo Trading
• Smart Order routers
• Prop Trading
• Exchanges

Topic 9 – LEADING VENDORS and Products
In addition to those already listed
• Fixnetics Zero latency – multi thread risk checks in FPGA and order processing in parallel on a core(a)
• Others TBD

Topic 10 (after Final exam – 60 minutes)

• FUTURE For ULL

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A Parable by Jesus and Capitalism versus Socialism Debate

Ted’s letter was published in the August 20, 2015 edition of The Beacon, a weekly newspaper of the Roman Catholic Diocese of Paterson, NJ serving Morris, Sussex, Passaic counties.  The letter:

This is in response to Robert Matrisciano’s 8/6 letter “Capitalism allows Christians to espouse biblical social justice”.   The letter championed capitalism as a more effective means than socialism for social justice,  arguing that individual freedom to utilize ones  ‘treasure’ to benefit others is more effective than collective government policies.

Let us take the capitalism versus socialism argument to another level.  Please reference Matthew 25:14:30 – parable of a master providing three servants with 5, 2, 1 talents respectively, expecting a return.  The first two doubled their talents and were praised whereas the third one did not and was condemned.

Socialist ideology stresses that the Government provides all with cradle to grave entitlements, often with extreme confiscation of wealth in order to redistribute income and thus pay for wide gamut of entitlements, up to the point where the Government may find itself in heavy debt.  Why? This is due to less incentive for one to increase income, thereby decreasing government revenues.  The rise of increasing socialist economics in the US has created an ever increasing Dependency on Government class that feels entitled, to an extent, even to non essential, even immoral  ‘entitlements’ such as contraceptives, stealing from tax payer revenue or borrowing further from abroad, deepening debt.  Socialism degrades the human spirit to apply their God given talents to better themselves and the world.   Free market capitalism, in contrast, provides incentives for all to develop their God given talents to the maximum.  Which environment – capitalism or socialism – would best motivate the servants in the parable?  The answer is easy.  Study world economic history if you have any doubts.

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Bill de Blasio’s NYPD Agenda

Toon 9

I sent following to Bill O’Reilly:

Killing NYPD

De Blasio knows NYPD is not racist but he, along with Sharpton, Holder, Obama have following agenda:

Nationalize local police forces, via executive order IF the chaos against the police continues to escalate. This is a major prerequisite to a full socialist takeover. It is also up to us to state the obvious to our friends, family members, etc … so we can all peacefully protest this policy, DEMAND de Blasio resign, and elect leaders to reverse course.

** Bill – we are counting on you to step it up and call out these provocateurs on their agenda which is based on lies, else in a year or two someone will write a book ‘Killing NYPD’.

Bill – great reference what may indeed be going on with this agenda can be found at:

http://www.returntoexcellence.net/2014/12/removing-influence-of-bo-de-blasio_28.html

Look forward to your opening comment Monday 8 pm Jan 5!

Twitter@Economics501

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Jim Rickards Predicts an AfterShock Like Economy as Debt Explodes While Economy Weakens

Please read link way below regarding an interesting analysis and projection by successful investor Jim Rickards, with some great stats such as the Federal Reserve being leveraged 77:1; I believe that is up from 22:1 in 2008. Also note that $1 debt used to increase GDP by $2.41 in 50s and 60s; now this $1 increases GDP by only $0.03 and is in danger of turning negative, per Rickards.

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1 theme he expands on therefore is that the Fed and Treasury are our greatest threat to national security. Rickards does predict an economy soon (perhaps within 6 months) that is quite similar to what Robert Wiedemer has been predicting for past few years – a $ collapse with severe economic adjustments required by the US. Reference AfterShock Economy:
https://economics501.wordpress.com/category/aftershock-economy/
Subsequent to further degrading of our debt and economic growth, Rickards foresees the possibility of the IMF bailing our Fed. The IMF is only leveraged by a 3:1 ratio.
i have not validated the stats or analysis but as i said – very interesting …

So how can we jump start the economy? Clearly tax reform must be one significant approach and be dealt with immediately. For more details visit — https://economics501.wordpress.com/category/tax-reform/

see link below
http://pro.moneymappress.com/MMRBSLG39EXT/LMMRQ9AH/?h=true

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Replace NJ Income Tax with state version of the Fair Tax

Following letter by Ted was published in The Daily Record June2 — http://www.dailyrecord.com/story/opinion/readers/2014/06/02/fair-tax/9802775/

 

I further expand on former state senator Ray Bateman’s argument that it is poor economic policy to tax the rich to the point where they leave the state. This not only takes away state revenues from their exit but also diminishes future revenues from the jobs many rich entrepreneurs create. In the end the state suffers from punishing income taxes. Tax more income and thereby expect less of it.

 

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New Jersey should eliminate the state income personal and corporate taxes, thereby reward success (income), encourage more of it, and subsequently grow the economy along with more revenue potential for the state. New Jersey should then closely implement, at the state level, the Fair Tax. The idea is to replace income taxes with revenue neutral consumption taxes on new products and services. This tax reform at both the state and federal level would more strongly grow the economy, add new jobs, and thereby provide governments adequate revenue sources. Annual budget deficit woes may then finally become just memories.

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Answer Karl Marx Capitalism Prediction with the Fair Tax

Karl Marx predicted that capitalism contains the seeds of its own destruction.  That is correct if a capitalist government embarks on an extensive and ultra progressive tax system to finance excessive entitlements.  Marx succinctly stated this strategy would eventually lead to socialism and ultimately communism.

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Our current tax system fairly close matches the above.  It punishes success (income growth) and thus stunts economic growth and widens the income gap.  Many of the poor likely realize that income is heavily taxed so why risk getting a job when the Government provides so much?

The Fair Tax (FT), in Congress as HR 25, provides incentives for all, by not taxing income and thus encouraging one to generate more income.  The FT is revenue neutral while eliminating all federal income and payroll taxes.  The FT generates revenue via a national sales tax on new products.

More of the poor will realize they can better themselves significantly by earning tax free income and not being punished by earning as much as they can.  They can then do their part to narrow the income gap.  To learn more visit http://www.fair tax.org, https://economics501.wordpress.com/category/tax-reform/,

www.returntoexcellence.net

Twitter @Economics501

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Will Bill O’Reilly be tough enough to ask questions about Marxism?

Bill O’Reilly encourages us to send him questions for his pre Super Bowl Obama Interview.  Here is my top 1:

Hey Bill – with no evidence against Paul Ryan, the Left states he is out to gut health care and benefits for the elderly and creates a commercial with a Paul Ryan look a like pushing granny off a cliff.  So why can’t the conservatives get an opportunity to ask Obama a question where there is tons of evidence he is implementing a Marxist strategy to “fundamentally change” the US?  Please read the below to him:

Mr President – I was a Marxist scholar in college (1978) and at that time liked many aspects of Marxism but since then changed and became a free market capitalist.  Observing your 5 years as president it seems you have successfully implemented an onslaught of Marxist values on an unsuspecting public.  Your “war on work” and massive expansion of the “Dependency on Government” class have created a true “proletariat” class that may soon embrace a 21st century Obama version of Marxism.  Please comment

** Bill do NOT let him get away with spin.  Remind him that he seems to be following Vladimir Lenin’s main strategy that lead to Lenin’s version of Marxism.  That strategy is:  the quickest path to revolution is to debase a currency.  Cite the debt that has grown from 9.6 trill to 17.5 trillion in 5 years under Obama.

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Other 27 questions I sent to Bill :

Bill I dare you to ask even one of these hard questions.  How about asking  the 5 toughest ones and NOT letting BO “spin”?

Was Benghazi used to deliver weapons to Syria rebels, many of who were associated with al Qaida?

Where were you during the Benghazi crisis?

Defense Sec advised you right away Benghazi was a terror attack with al Qaeda influence.  Why did you for 2 weeks state it was due to a video?

What were the motives of the Benghazi terrorists?

Why is Clapper still in office as head of intelligence?  He lied under oath about NSA spying.

Why is Holder still in office?  He lied in Congress about his role in journalist wiretapping.

Why do you rarely speak favorably about the role of the private economy?

Do you believe the US should ultimately be a socialist nation?

What motivated you to take a job as community organizer in an organization founded by Saul Alinksky?

can you mention a few aspects of Alinsky’s rules for radicals that you still follow?

Do you consider that Saul Alinsky presented a more modern version of Marxism?

Why do you believe Government controlled health care is superior to one managed by private markets?

Are you worried your debt explosion may result in a dollar collapse?

If you are so concerned about income redistribution, why do you not take action to cut much gov waste?  If you did you would have more useful $ for all.

How can you justify the $430 billion annual cost in complying with the IRS and our tax code?  Is not that a huge waste and drag on the economy?

Pleas provide a few reasons why you are against the fair tax.  Please be aware the fair tax eliminated the IRS.

Why are you implementing immigration reform via executive fiat?

Why did you negate Clinton’s welfare reform without getting Congressional approval?

Why did you disobey a fed Court order that you rescind your sever restrictions on drilling oil off shore?

Where in the Constitution do you get such extensive powers to circumvent Congressional legislation while issuing executive orders?

Do you really think most Americans believe you were clueless about the IRS harassing of conservatives, NSA abuses, spying on journalists, fast and furious! and most of all that you did not lie stating that Americans would not loose their doctor with ObamaCare?

Did you and Candy Crowly rehearse how you would respond to the Bengahzi attack during the second Romney debate?  After all when you asked her to read the transcript it was on top of a huge pile of documents.

Did you lie about Benghazi  to get re elected?

Are you happy how you handled Benghazi – especially the part when you knew it was a terror attack but you said for 2 weeks it was about a video?

Vladimir Lenin stated that the quickest way to revolution is to debase a nation’s currency. Do you agree your policies mimic Lenin’s?  You started with a total debt of $9.6 trillion. It is now $17.5.

A result of many social welfare states over past century is that the lower income suffer most with growing income gaps.  Those with incentive learn new skills continuously and prosper.  many who become brainwashed by the Left believe they are victims of the rich and tend to loose focus, loose ambition, and loose jobs and income growth potential.  The Left needs this income gap and a villain in order to stay in power. They have been very effective in influencing the mindsets of many. we need more grass roots advocates of free markets and individual liberty.  Will you join  me in changing this mindset?

Twitter @Economics501

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