STAC Report: Aleri Order Book Consolidation on Intel Tigertown and Solaris 10
One 2U server consolidates a view of 180,000 orders per second with 99th percentile latency of approximately 3 milliseconds
STAC has released results from tests of an order book aggregation solution built on the Aleri Streaming Platform. The Aleri solution consumed streaming, full-depth order data for two US equity exchanges via the Reuters Market Data System version 6 and aggregated the orders by price to produce a single, consolidated order book stream as the output. The consumer of the consolidated output stream was a single instance of a test client that STAC wrote to the Aleri API and Aleri helped to optimize. The consumer subscribed to one quarter of the entire set of consolidated order books. All Aleri components and the STAC client ran on a single 2U SunFire X4450 server with four quad-core Intel Xeon X7350 ("Tigertown") processors and Solaris 10. Latency was measured from the moment that the Aleri RMDS adapter received data from RMDS to the moment that the STAC client received data from the Aleri API in the proper format.
The key results were:
- Mean latency not exceeding approximately 1.5 milliseconds at ingress rates of up to 180,000 order book updates per second.
- 99th percentile latency not exceeding approximately 3.0 milliseconds at ingress rates of up to 180,000 order book updates per second.
This project is not connected with the standard benchmarks for event processing that the STAC Benchmark Council is developing. As a member of the Council, Aleri is an active participant in the working group that is developing those specifications. However, these tests are completely separate.
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