Combining Levyx™ + Intel Optane™ to Scale the …...Combining Levyx + Intel® Optane to Scale the Performance of Matching Engines LATENCY COMPARISON OF 1 BOOKMANAGER CORE, WITH

Combining Levyx™ + Intel® Optane™ toScale the Performance of Matching Engines

LATENCY COMPARISON OF 1 BOOKMANAGER CORE, WITH PERSISTENCE (I.E. HELIUM) AND WITHOUT PERSISTENCE

Neglible Trade-off in Performance While Adding Critical Peristence Feature to the Working Data Set

USER SOFTWARE RUNNING ON

N CORE WITH SIMPLX

SCALABLE INTERFACE BETWEEN

SIMPLX AND HELIUM

HELIUM BUILT-IN MODE

THROUGHPUT (MSG/SEC)

LA

TE

NC

Y (

µse

c)

5,000 122,000 375,000

20

10

5

15

25

35

0

30

4099.9% WITH PERSISTENCE

99% WITH PERSISTENCE

99.9% WITHOUT PERSISTENCE

99% WITHOUT PERSISTENCE

SIMPLX CORE

Matching engines are at the core of electronic exchanges and use sophisticated algorithms to allocate trades among competing bids and offers at the same price. They match up bids and offers to complete trades. In addition to financial trading, matching engines and the need for them to process increasingly-large amounts of data are found in applications ranging from ad technology to interactive gaming to Smart Cities.

Simplx is a C++ development framework for building reliable cache-friendly distributed and concurrent multicore low-latency software. Levyx’s Helium™ engine combined with Intel® Optane™ create a solution that adds data persistence, a critical enterprise feature, without impacting the number of transactions that a financial bookmanager can process in a Simplx installation.

Note: Outlined functions are implemented in this demo.

• # of Books = 1000 => 1000 financial instruments

• Each BookManager handles many Books

• # of Book Managers is a scalability parameter

• Books are distributed evenly on the BookManager, hence on the cores

• Benchmarks run fully on one socket

• Each Persistence Core is linked to One BookManager Core

• 3 Injectors are used in this implementation

MATCHING ENGINES

THE PARAMETERS

THE IMPLEMENTATION

SIMPLX FRAMEWORK

One Book Core handles up to 125K orders/sec before performance degradation due to message queuing.

HELIUM API

SimplxTM

Simplx

Simplx

Simplx

HELIUM SERVER

OrderEntry Risk

Session management (open/close/auctions...)

+ Intel® OptaneTM DIMMs

Technical & business monitoring

Resilience & Persistence

...Book

ManagersMarket

DataPost

Trading

~10 usec differential in latency between5K and 122K msgs/sec is

inconsequential to most quants

Levyx was founded 2013 in Irvine California with a mission of enabling Real-Time Persistent Computing for Big Data™. To that end, Levyx has developed next-generation database Storage and Query offload engines that fully exploit the latest commodity hardware technologies including multi-core servers, internal and external flash systems, and IO offload engines.

The result is unprecedented performance and latency reductions for IO intensive workloads such financial service backtesting or streaming analytics.

Levyx’s new software-based engines allow for the first time, persistent computing to be possible on Big Data platforms such as Apache Spark thru use of SSDs instead of volatile memory-only designs.

Levyx is now delivering the world’s fastest key value store; the world’s first distributed storage/analytics offload engine (Xenon); and the world’s first large-scale, low-latency distributed database built for Exascale opportunities.

4 9 D i s c o v e r y , S u i t e # 2 2 0I r v i n e , C A 9 2 6 1 8

( 9 4 9 ) 5 0 2 - 6 3 6 9

s a l e s @ l e v y x . c o m

Trading Chain Scalability with Persistence and Latency Stability

Next-Generation Data Stack

Query/Analytics Parsing

Big Data Applications(Fintech, IoT, eCommerce, Genomics, ML/AI)

Query/Analytics Optimization & Partitioning Engine

Query/Analytics Code Generator & Just-in-time Compiler

Distributed Storage Class Memory (DSCM) Abstraction & API

NIC SSD SCM FLASH-ARRAY

Native Key/Value (NKV) Abstraction & API

Network & RDMA Manager (Synchroniza-

tion)

HighPerformance

Indexer

Lock Free Object Caching

& Write Buffering

Core Key/Value Store Logic

(PQ, RQ, GC & Transactions)

Key/Value Store API

DATA

STACK

UDF

GPU

Levyx Connectors

Ultra Low Latency - 10x Faster

Index Billions of Objectson a Single Node

Unmatched Price/Performance

ABOUT LEVYX

Note: Latency @ 99%ile, # of Book Cores vary from 1 to 7 (max on one socket)

Scaling the throughputwhile maintainingstable latency.

Dataset & Analytics API

TH

RO

UG

HP

UT

(K

OP

S/

SE

C)

LA

TE

NC

Y M

ICR

OS

EC

ON

DS

1-core 2-cores 4-cores 7-cores

300

100

0

500

700

400

200

600

800

900

6

2

0

10

14

8

4

12

16

18

122K ops/sec

230K ops/sec

500K ops/sec

800K ops/sec

11.5 µsec12.7 µsec

14.4 µsec

15.5 µsecLATENCY

THROUGHPUT

FPGA