1.
SCALED RISK
Next Generation of Financial Platform
NoSQL in Financial Industry
Distributed Matters - Barcelona – 21 November 2015
Pierre Bittner - CTO
SCALED RISK

2.
SCALED RISK 2
Integrated Big Data & Analytics Platform
SaaS or On-Premise
Hadoop/HBase + Low latency + External Consistency
+ Flexible Data Schema + In-Memory OLAP
WHAT?
HOW?
FOR? Real-Time Risk Management
WHERE?
What is Scaled Risk?

3.
SCALED RISK 3
Why NoSQL Matters in Financial Industry?
• Volume / Velocity
§ New York Stock Exchange generates about 4−5 terabytes of data per day.
§ Algo Trading, High Frequency Trading: In 2012, accounted for 50% of all US equity trading volume.
Trade execution milli- and even microseconds.
ġ
E
Y
G
• Coherency / Availability / Security
§ Regulatory Report: Intraday Monitoring,
§ MTTR, Data Spikes on Market Event, Disaster Recovery, ACL
• Mixed workloads: Streaming and Historical Analysis – Point In Time Comparison
§ BackTesting, Replay (UTC Timestamping of all events, FIFO)
§ Lambda-architecture, Kappa-architecture
• Needs for Multi-tenancy / Data & Process Governance (Data Lake / Data Centric Arch.)

4.
SCALED RISK 4
G
Y
E
Real-Time Enterprise-Wide
Risk Management
Improved and trustable view of
global risk and support
implementation of next regulations
Real-Time
Fraud Detection
Pre-check, real-time and
historical data verification for
trades, payments, orders, …
Real-Time
Market Analytics
On-demand live and historical
data analysis on global market
Why NoSQL Matters in Financial Industry?
Customer Story:
Market Exchange
Market Surveillance

5.
SCALED RISK
OTC Market
• Foreign Exchange
• Debt Market (Bond)
• Commodities
• Bloomberg, FXAll,…
• …
Regulated Market
• Securities
• Options
• NYSE, Eurex
• LSE
• …
Structured Data Feeds
Booking Systems
• Trader Positions
• Intraday Events
• Valorization
• Volatility, Correlation
Referential Data
• Counterparts
• Analytical Structure
• Products Definition
• Mappings
Unstructured Data Feeds
News & Mkt Analysis
• Reuters, BBG
• Research
Social Media
• Twitter
• LinkedIn, …
Trading
• Global Positions
• Intraday funding & forecasting
• Collateral Optimization
RT Aggregated Positions
Sales
• Credit Line
• Profitability Indicator
• Customer Interests
Global
• Market Flows
• Analyst/Market Correlation
On-Demand Analysis
Market Risk Analysis
• Stress per Counterparty
Sales
• Customer alerts on
Market Trends
• Recommendation &
Lead Generation
Live Report & Alerts
• On Market Events
• Custom scenario
• Market Surveillance
5
Today’s Trading Challenge: On-Demand Live Analysis & Alerts
Risk
• CVA, Counterparty Exposure
• Limit, Stress Test
Intraday Limit Risk
• Automatic Monitoring

6.
SCALED RISK 6
Context
Extreme performance and resilience :
Peak activity > 1M order p. second
Low Latency
Objective
On-demand market analytics out of
real-time & historical data
Resilient primary storage
Problems
High volumes, difficult access to history
SLAs for data & service availability
Customer Story: On Demand Market Surveillance for Exchange
Solution
Scaled Risk at the outflow of the matching engine
Benefits
Streamline process, consistent view
High availability and scalability
Reduced TCO
l
Result
A single system for storage and
computation of spot & historical data
for market surveillance

7.
SCALED RISK
7
On Demand Market Surveillance: Pilot Perimeter
High Level Architecture Candidateģ

8.
SCALED RISK
8
On Demand Market Surveillance: Pilot Perimeter
Focus on evaluating HBase frameworkå
Ø HBase performance on Read/Write
Ø HBase behavior during a node failure
Ø HBase process isolation
Ø Global consistency
Key parts of the architectureå
Ø Message Bus (Kafka)
Ø Storage System (HDFS)
Ø Operational Database (HBase)
Ø Real-Time Analytics tool (Scaled Risk)
Ø History & Data Analytics tool (SR & Spark)
Benefits of architecture (streamline process, cost, …)
not covered in this step.
Confirm Hadoop/HBase technical Stackå
Evaluate Scaled Risk performanceå
Explore Scaled Risk featureså
Pilot Perimeter
Suitability of HBase and Scaled Risk in term of
properties and performance.
Pilot duration : 2 months

9.
SCALED RISK
9
HBase: Random Access to your Planet-Wide Data
Key-value data organization per row. Table is a namespace.å
Each cell is timestampedå
ACID per row; Rowkey for fast access and data distributionå
HBase in few words
HBase is an open-source, distributed, versioned, non-relational, scalable, wide-column data store.
Ø It is the Hadoop database, leveraging mainly on HDFS.
Ø Based on Google BigTable storage system.
Four primary operations are Get, Put, Delete and Scanå
Server-side operations with Coprocessor (Observer, Endpoint)å
Linear scalability, automatic sharding and failover supportå
Strictly consistentå
Hadoop ecostem integration (YARN), MapReduce, Hive, Sparkå
Phoenix for SQL Flavorå

10.
SCALED RISK
NoSQL Wide Column Store Real-Time Distributed OLAP
• Dynamic Data Schema
• Schema on read and write
• Fast, Random R/W access
• Fast In-Memory Data Processing
• Full Consistency; Linear Scalability
• Open API (Valuation)
On-Demand Market Surveillance: Functional Architecture
10
LowLatencyInternalBus
Read-Isolations
As Of Date
HBase As Storage
Injector(Thrift)
• Advanced Index and search for
Data Classification and Correlation
• Semantic reconciliation
Real Time Indexing
Real-Time Alerting
0
1
2
3
4
5
6
Contrat 1 Contrat 2 Contrat 3 Contrat 4
Alert on Analytics
Volume Matching Cancel Rate
Alert on Data
REST/API/WebSocket

11.
SCALED RISK
On-Demand Market surveillance: Technical Architecture
11
Head Node
Name Node
Head Node
Secondary Name Node
Head Node
Hbase Master
Worker Node
Region Server
Data Node
Worker Node
Region Server
Data Node
Worker Node
Region Server
Data Node
Worker Node
Region Server
Data Node
Worker Node
Region Server
Data Node
Worker Node
Region Server
Data Node
HP Loader
3 x Hadoop Head nodes:
HP ProLiant DL360Gen9 Server
8x 900GB 10k rpm SAS,128 GB RAM, 2 x (10 cores)
Intel Xeon CPU E5-2660 v3 @ 2.60GHz,
4 x 1GbE ports and 2 x 10GbE ports
6 x Hadoop worker nodes:
HP ProLiant DL380Gen9 Server
2 x 120GB SSD OS,
15 x 3TB 7.2k rpm SATA, 128 GB RAM, 2 x (10
cores) Intel Xeon CPU E5-2660 v3 @ 2.60GHz,
4 x 1GbE ports and 2 x 10GbE ports
1 x HP Smart HBA H240ar, 1 x HP Smart HBA H240
1 x HP Loader:
HP ProLiant DL380Gen8
14 x 1TB 7.2k rpm SAS, 128 GB RAM, 2 x (10 cores) Intel
Xeon CPU E5-2670 v2 @ 2.50GHz
Cluster size and components
Hadoop cluster details :
• Hadoop HDFS usable size : 60TB (Block
replication 3, no compression)
• Hadoop HDFS data disk RAW size : 241TB
• Hadoop cluster memory : 6 x 128GB = 768GB
Hadoop componentsand associated services
• Hadoop Distribution : HortonWorks HDP 2.2 Stack
• Cluster management : HP Insight CMU v7.3
• Hdfs v2.6.0
• Hbase v0.98.4
• Zookeeperv3.4.6
Other details :
• OS : RHEL - RedHat Enterprise Linux v6.5 – 64bit
• Linux filesystem for Hadoop data : ext4
• JVM used for Hadoop : Oracle Java 1.7.0_67

12.
SCALED RISK 12
On Demand Market Surveillance : Functional Consistency
• Market Exchange Data types
§ A unique Data flow containing all types of message
§ Order messages
§ Trade messages
§ Test injector generates 1,5m in 7’ (client limitation)
E
Y
G
• Scaled Risk Data exhaustiveness control
§ Dynamic data model with two tables
§ Trade and Order messages are split
§ Test method: Messages count
Message Type Message sub type Count
Order
New 792,546
Replace 645,889
Status 40,821
Others 80
(unique order ids)
792,886
Cancel n/a 680,626
Trade n/a 137,573
• Order and Trade Life-cycle Control
§ Message fields consistency control
§ Test method: Data sampling
Message Type Count
Order Table 792,886
Trade Table 137,573
Order Id Trader Contract Qty Price Side
A 6C9 JFFCE150500000F 1 49350 Buy
B W90 JFFCE150500000F 2 49350 Sell
C MAT JFFCE150500000F 1 49345 Buy
Trade Id Trader Contract Qty Price Side
1630 6C9 JFFCE150500000F 1 49350 Buy
1630 W90 JFFCE150500000F 1 49350 Sell
1631 MAT JFFCE150500000F 1 49345 Buy
1631 W90 JFFCE150500000F 1 49345 Sell

13.
SCALED RISK 13
On Demand Market Surveillance : Performance Indicators
Sender/Trade (per region)
• 130 K trades per second
• 800 K on cluster
Test Scenario
• 7 minutes
• 1,479,335 messages
• Stats only on Order Table
End-to-end
• Nominal Latency ~200ms
• 90% of messages with <412ms

14.
SCALED RISK
On Demand Market Surveillance : Fault Tolerance Test
HBase is designed to be fault tolerant.
• A node fails when the white stripe appears on the
whole width of the graph.
• All nodes are impacted by the failure, and not only the
killed node (as expected remember CP).
• Another white rectangle is displayed before the node
failure.
• It represents all the messages that have been
correctly inserted before the failure, but never flushed
to disk.
• Because the WAL is deactivated by trade injector
(option), those messages were lost when regions were
moved from the killed node to other nodes.
X axis is the rowkey prefix, to show the distribution of insertion on the cluster. The Y axis is the time.
Points displayed over the entire width of the X axis means that the distribution is correct.

15.
SCALED RISK
On Demand Market Surveillance : Fault Tolerance Test
X axis is the rowkey prefix, to show the distribution of insertion on the cluster. The Y axis is the time.
Points displayed over the entire width of the X axis means that the distribution is correct.
A second test confirms that HBase remains available even if a node fails.
Test consists in inserting data in HBase from both YCSB and trade injector clients.
• YCSB inserts data in a table distributed on 5 nodes
• Trade injector inserts data in a table distributed on 4 nodes.
• The node killed does not impact trades injection.

16.
SCALED RISK
On Demand Market Surveillance: Next Steps
Deeper evaluation of HBase
Impact of volumes on performance
Evaluation of HA Region Servers for data access
Wider view of the targeted architecture
Overall resilience
Overall latency
Simplification
Hot zone/Cold zone
TCO
Business requirements of the project:
MIFID II impact
New services

17.
SCALED RISK 17
Extreme flexibility thanks to our OLAP cube and Data Schema
• 360 view of the position (As Of Date, explain, multi-aggregation level)
• In-memory distributed calculation
• Sub-second end-to-end (push architecture)
Low latency internal bus
• UDP unicast, acknowledgement by UDP
• No region location pain
• Exactly once delivery, no message resent, multicast storm prevention
Resiliency
• HBase RPC poll on message losses
• HDFS message storage on overflood and region events
Overview of Scaled Risk implementation
Ħ Open Architecture
• Open Standards: seamless integration to HBase (coprocessor)
• Open API (Valuation, FIFO), Toolkit approach

18.
SCALED RISK
www.scaledrisk.com
SCALED RISK