Specifications

15
High Performance Trading/Algo Speed with Wombat Design and Implementation Guide
OL-15617-01
Testing
Figure 8Test Setup
Procedures
A remote shell script was used to ensure that the timing of each run was as consistent with other runs as
possible. The script first started the OPRA FH instances. After they had loaded their symbol caches,
the mcpub instances were started, and data was played back from the start of the file, which contained
approximately 5 minutes of play time before market open. During this period (immediately after the
mcpub instances were started), the mamaperf clients were started, and each mamaperf requested and
received its initial images from the OPRA FH instances. Thus, each client was able to instantiate its
watchlist during the period before market open, as is standard practice for real trading applications. The
mcpub instances were configured to pause at a synchronization point in their playback files just before
09:30 (market open) in the data, allowing them to begin market-rate playback simultaneously. The
mamaperf clients were configured to record statistics for fifteen minutes from when they started,
yielding at least eight minutes of data from market open.
In the initial set of test runs, mcpub was configured to play back at the same rate at which the data were
originally recorded, or 1x recorded rate. Three runs were performed over UDP/GigE and three over
DAL/InfiniBand-SDR.
Next, we determined the highest integer multiple of the recorded rate that the system could sustain in
this configuration. That turned out to be 4. So in the second round of tests, mcpub was configured to
play back at 4x recorded rate while preserving the relative timing of updates to whatever degree it could
manage (we were unable to verify the timing fidelity of playback; see
Limitations, page 16). In this case,
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Feed Handler
OPR
AFH
mcpu
Canned
OPRA Data
mamaper mamaper mamaper
mamaper mamaper mamaper mamaper mamaper mamaper
mamaper mamaper mamaper
Cisco InfiniBand
or
Switched Ethernet LAN
29 West LBM
(IP Multicast)
Switched Ethernet LAN
mcpu mcpu
OPR
AFH
OPR
AFH