Published on July 11, 2009
Sybase RAP & Sybase CEP Sybase RAP & CEP 卢东明 技术总监， Sybase China 1
议题 Sybase RAP & Sybase CEP ▌ 金融行业面临的挑战 ▌ 业务的响应 ▌ 技术的解决方案 RAP CEP ▌ 金融行业以外的应用 2
Market Dynamics Create Extreme Sybase RAP Pressures & Sybase CEP Volumes, velocity, complexity of data are stressing systems 3
Sybase RAP It is all about Speed! & Sybase CEP Near- or sub-millisecond latency times are needed to stay competitive in the February 4, 2008 trading markets, says Low*, “but at the same time, you’re expected to be rock- best-of-breed solution was solid, bulletproof, and never able to support latency of fail as a system and never less than 1 millisecond lose data.” (987 microseconds) at 6,000 orders per second, with full data replication * Gideon Low, principal architect for business development and alliances at GemStone 4
Sybase RAP New Regulations & Sybase CEP ▌MiFID (Europe) and RegNMS (U.S.) Best execution Must be able to prove that the trading decision was in the best interest of the customer Need to be able to reconstitute a trade that is 5+ years old ▌Know Your Customer/Counterparty, etc Liable for business you conduct with nefarious people Even legitimate business is not allowed 5
当前体系结构的挑战 Sybase RAP & Sybase CEP 问题 : 专门的系统产生数据孤岛，信息孤岛，增加系统延时 MARKET Traders, Automated Quants, Model DATA Trading Apps Development HISTORY (time series) RESEARCH (scenarios, post- trade analysis, etc) TRADE & RISK DATA P&L Monitoring, Risk Manager, Others Management & CORPORATE DATA Compliance Reporting 6
议题 Sybase RAP & Sybase CEP ▌ 金融行业面临的挑战 ▌ 业务的响应 ▌ 技术的解决方案 RAP CEP ▌ 金融行业以外的应用 7
Sybase RAP New York Stock Exchange – Then & Sybase CEP 8
Sybase RAP New York Stock Exchange – Now & Sybase CEP 9
纽约最有价值的“地产” Sybase RAP & Sybase CEP ▌The first thing Wall Street executives want to know when they tour the New York Stock Exchange's data centers to check on the servers they've co-located there is, who is hosted in the other cabinets and why aren't their own cabinets closer to the NYSE's servers, reports Steve Rubinow, the exchange's CTO. January 22, 2008 10
创新者！ Sybase RAP & Sybase CEP ▌A challenge can also be an opportunity ▌A small hedge fund far from NY and London has figured out how to beat the markets ▌“Day trading” on steroids! 11
对冲基金策略 Sybase RAP & Sybase CEP 12
对冲基金策略 Sybase RAP & Sybase CEP 13
电子交易 vs. 传统交易 Sybase RAP & Sybase CEP 14
交易案例 Sybase RAP & Sybase CEP 15
议题 Sybase RAP & Sybase CEP ▌ 金融行业面临的挑战 ▌ 业务的响应 ▌ 技术的解决方案 RAP CEP ▌ 金融行业以外的应用 16
关系型数据库 vs 事件处理模型 Sybase RAP & Sybase CEP CEP Up da Memory t es Processing Updates Disk Polling Alerts Queries Actions Memory Disk Stores data before processing Grabs, analyzes data as it flies by Optimized for business data Different way of thinking: processing ● Send data to the queries Load the needles, not the haystack Advantage: Minimal latency ● No waiting ● Results delivered in-flight 17
复杂事件处理 CEP Sybase RAP & Sybase CEP 事件的复杂度 Complex events Traditional Complex Business Event Intelligence Processing Simple events Messaging RDBMS & Routing Systems 处理速度 Human speed Machine speed (seconds to minutes) (msec) 18
Complex Event Processing Sybase RAP High Level Architecture & Sybase CEP Stream Data Management Pattern Matching Output Control Management Filtering Ordering Indexing Specification Ordering Input Data Streams Routing Windows Identification Routing Output Events Delays Merging Non-Events Delivery Missing Mgs. Correlation Interfaces Decomposition Aggregation State Persistence, Caching, Locking, Database Reads/Writes Execution Continuous Processing, Synchronization, Threading, Security, Clustering, Availability Complex Event Processing will: Save multiple man-years of development & maintenance Speed time-to-market Dramatically increase responsiveness to the business 19
最大的风险是“延迟” Sybase RAP & Sybase CEP Time Risk More TIME More RISK It takes to know your position Counterparty Risk? Liquidity Risk? Enterprise Risk? 从事件发生到响应之间的延迟是你最大的风险 20
波动 = 机会 Sybase RAP & Sybase CEP Time Reward Act Faster More Opportunity ▌You must ● Separate opportunities from background noise ● Measure opportunity – Risk vs. Reward ● Act on opportunity 21
对 CEP 的需求 Sybase RAP & Sybase CEP Need for complex event processing engine Challenges in developing analytics apps on streaming data ▌ Continuous analysis of high-speed data streams, prior to storage ● Custom developed apps ▌ High-throughput ● Time consuming ▌ Low-latency – sub-millisecond ● Expensive ▌ Rapid development and deployment ● Cannot be changed quickly ▌ Integration with ecosystem Input Data CEP Output Streams Engine Events Solution Financial Market Data Applications Trading Systems Risk Systems Databases Complex event definition Application Data A complex event is the discovery of a Databases Message Bus fact derived by correlating multiple Message Bus Visualization events and applying rules to that set Tools & Alerts of events. * IDC report #215785, December 2008 Historical & Reference Data 22
资本市场上 CEP 的使用案例 Sybase RAP & Sybase CEP Technology Capital Markets Usage Requirements Trading • Algorithmic trading High speed data capture • Real-time position and portfolio analysis • Smart order routing Real time analytics and aggregation Risk management • Real-time risk analysis • Trader compliance monitoring Computations on event windows • Monitor activities of exchange, or Dark Pool members for compliance • Real time P&L analysis Connectivity to multiple systems Market data support and pre-trade analytics Rapid development and deployment • Data latency and data quality monitoring • Data cleansing • Computation of analytics for pre-trade use Availability, reliability, scalability 23
CEP 体系结构 Sybase RAP & Sybase CEP Post Trade Analytics Database Stock Exchanges Market Data Middleware NYSE Order Management Systems AMEX London Sybase Visualization Tools Stock Exchange CEP Risk Management Systems … Internal Order Book 24
Sybase RAP SYBASE CEP SERVER ARCHITECTURE & Sybase CEP Sybase CEP Studio & SDKs Sybase CEP Engine Out-of-process Out-of-process Adapters Adapters Input Output Streams Streams In-process In-process Adapters Adapters Real-time Clustering SQL-like Analytics & HA Language In-Memory Event-Driven Event Cache Reads/Writes Replay External Databases & Sybase RAP Applications 25
“CONTINUOUS COMPUTATION Sybase RAP LANGUAGE – CCL” & Sybase CEP ▌ Sybase CEP is programmed using CCL, which is very “SQL Like” but also rich with intuitive streams processing extensions ▌ CCL queries are executed continuously ▌ CCL language has support for stream processing, such as Windows, which is key for analytics on event streams ▌ Database SQL queries can be executed as part of the CCL language, and joins between elements in the database and the data stream in CEP can be done Example CCL Query Calculation of INSERT INTO VWAPEventStream 10 minute SELECT StockTickerSymbol, VWAPS SUM(StockPrice*StockVolume)/SUM(StockVolu me) FROM TradesEventStream KEEP 10 MINUTES GROUP BY StockTickerSymbol OUTPUT EVERY 10 MINUTES 26
Sybase RAP Sybase RAP – The Trading Edition & Sybase CEP A powerful, flexible market analytics platform for capital markets Enables better trading and portfolio decisions with less risk through timelier, more comprehensive market insight. Shared access to consolidated data across the trade lifecycle: High-performance quantitative analytics Real-time trade analytics Intra-day risk analytics Regulation-driven analytics 27
Sybase RAP – The Trading Edition Sybase RAP & A Complete Platform for Optimized Performance Sybase CEP Sybase RAP – The Trading Edition supports different trade lifecycle analytics requirements by layering various technologies to optimize performance as needed according to speed, computational complexity, or types of data. 28
Sybase RAP SYBASE RAP & CEP OPTION & Sybase CEP 业务定位 完整的 RAP 平台 – 单一厂商 Sybase’s CEP option enables you to quickly deploy live analytic applications that provide up-to-the-moment intelligence on market and trade data 风险分析 交易及算法支持 Continuous computation of profit and loss on a Pre-trade analytics trade-by-trade basis, aggregating this Construct, test and implement real-time models information across multiple portfolios and strategies for traders Real-time calculation of risk at granular and Comprehensive views into years of granular summary levels market, trade and statistical data Delivery of risk information to the right people at Rapid deployment of strategies and models into the right time in the right format a scalable, real-time infrastructure 29
“ 速度”及“深度” Sybase RAP & Sybase CEP ▌Speed – Know there is a material event happening ▌Depth – Know the risk/reward ▌Sybase CEP = Speed Event ▌Sybase RAP = Speed Analysis + Depth Sybase RAP + Sybase CEP Option Speed Event + Speed Analysis + Depth 30
议题 Sybase RAP & Sybase CEP ▌ 金融行业面临的挑战 ▌ 业务的响应 ▌ 技术的解决方案 RAP CEP ▌ 金融行业以外的应用 31
Sybase RAP Opportunities Beyond Financial Services & Sybase CEP ▌电信 预付费电话授权，欺诈分析，网络监控，入侵检测 / 防 范，会话管理 ▌政府，安全及监控 情报监控，战地协调，国土安全 ▌实时供应链 / 物流 / 制造业 库存准确性，送货确认，质量跟踪 32
金融行业以外的应用 Sybase RAP & Sybase CEP ▌交通运输业 风险控制，调度，派送，路线规划 ▌互联网 /Web 点击流分析，网络游戏，入侵监控 / 防范 ▌RFID 库存管理，集装箱跟踪， ID 牌及安全控制， 33
金融行业以外的应用 Sybase RAP & Sybase CEP ▌零售业 产品关联分析， CRM, 库存管理，订单管理，脱 销， POS ▌媒体和娱乐业 内容及服务的动态包装，版权付费 ▌医疗卫生 / 保险 资产管理，理赔操作，账单管理，欺诈分析 34
总结 Sybase RAP & Sybase CEP ▌ Volume and Velocity are Overwhelming Financial Services ▌ Challenges & Opportunities Compliance with RegNMS, MiFID New trading strategies ▌ New technology is changing the markets Market changes demand new technology, then the new technology changes the markets ▌ Coming to an IT Department Near You – SOON! 35
Sybase RAP & Sybase CEP www.sybase.com/rap 36
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