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Flow Control in Distributed FIX/FAST Systems.
KTH, School of Computer Science and Communication (CSC).
2012 (English)Independent thesis Advanced level (professional degree), 20 credits / 30 HE creditsStudent thesis
Abstract [en]

Jonas Westman Skog

Flow control in distributed FIX/FAST systems

In this report methods for regulating the market data streams that originates from a stock exchange trading system are analyzed. Regulating the streams must be done not to flood the exchange's market data customers with data while keeping the impact on latency to a minimum. After reviewing different methods, input throttling of order updates is chosen as solution. A prototype is developed. While not being able to actually enforce the limits, it does calculate a fair resource allocation based on real time user statistics through max-min fairness and announces the limits to the users. These results are also presented in the report. Finally some conclusions are presented, they are however very specific to this trading system. The solution could have been improved substantially if these conclusions would have been drawn earlier.

Abstract [sv]

Jonas Westman Skog

Flödeskontroll i distribuerade FIX/FAST-system

Den här rapporten utvärderar metoder för att reglera marknadsdataflöden från ett börshandelssystem. Denna reglering måste finnas för att inte översvämma börsens marknadsdatakunder med data, samtidigt som påverkan på systemets latens ska vara minimal. Efter att ha utvärderat olika metoder, väljs indatabegränsning som lösning. En prototyp utvecklas. Trots att prototypen inte kan påtvinga indatabegränsningarna beräknar den en max-min-rättvis resursallokering baserad på realtidsanvändarstatistik och visar den för användarna. Resultaten presenteras också i rapporten. Till slut presenteras de slutsatser som drogs under arbetets gång, de är dock väldigt specifika för handelssystemet som prototypen utvecklades mot. Det hade varit möjligt att förbättra lösningen avsevärt om dessa slutsatser hade kunnat dras tidigare.

Place, publisher, year, edition, pages
2012.
Series
Trita-CSC-E, ISSN 1653-5715 ; 2012:036
National Category
Computer Science
Identifiers
URN: urn:nbn:se:kth:diva-130997OAI: oai:DiVA.org:kth-130997DiVA: diva2:654443
Educational program
Master of Science in Engineering - Computer Science and Technology
Uppsok
Technology
Supervisors
Examiners
Available from: 2013-10-07 Created: 2013-10-07

Open Access in DiVA

No full text

Other links

http://www.nada.kth.se/utbildning/grukth/exjobb/rapportlistor/2012/rapporter12/westman_skog_jonas_12036.pdf
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  • apa
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More styles
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  • Other locale
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Output format
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