Design and analysis of a distributed multi-leg stock trading system

Jia Zou, Gong Su, Arun Iyengar, Yu Yuan, Yi Ge

Research output: Chapter in Book/Report/Conference proceedingConference contribution

Abstract

We present the design, optimization and analysis of a highly flexible and efficient multi-leg stock trading system. Automated electronic multi-leg trading allows atomic processing of consolidated orders such as "Buy 200 shares of IBM and sell 100 shares of HPQ". While the expressive power of multi-leg trading brings significant value to investors, it also poses major challenges to stock exchange architecture design, due to additional complexities introduced in performance, tradability, and fairness. Performance can be significantly worse due to the need to coordinate transactions among multiple stocks at once. This paper studies the performance of multi-leg trading under different fairness constraints and variability in order price and order quantity. We identify the major performance bottlenecks when using traditional atomic commitment protocols such as 2- Phase Commit (2PC), and propose a new look-ahead algorithm to maximize transaction concurrency and minimize performance degradation. We have implemented a base-line 2PC prototype and a look-ahead optimized prototype on IBM z10 zSeries eServer mainframes. Our experimental results show that the look-ahead optimization can improve throughput by 58% and reduce latency by 30%.

Original languageEnglish (US)
Title of host publicationProceedings - 31st International Conference on Distributed Computing Systems, ICDCS 2011
Pages13-24
Number of pages12
DOIs
StatePublished - Aug 25 2011
Event31st International Conference on Distributed Computing Systems, ICDCS 2011 - Minneapolis, MN, United States
Duration: Jun 20 2011Jul 24 2011

Publication series

NameProceedings - International Conference on Distributed Computing Systems

Other

Other31st International Conference on Distributed Computing Systems, ICDCS 2011
CountryUnited States
CityMinneapolis, MN
Period6/20/117/24/11

Keywords

  • Computer-driven trading
  • Distributed coordination
  • Multi-leg trading
  • Transaction processing
  • Two-phase commit

ASJC Scopus subject areas

  • Software
  • Hardware and Architecture
  • Computer Networks and Communications

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  • Cite this

    Zou, J., Su, G., Iyengar, A., Yuan, Y., & Ge, Y. (2011). Design and analysis of a distributed multi-leg stock trading system. In Proceedings - 31st International Conference on Distributed Computing Systems, ICDCS 2011 (pp. 13-24). [5961684] (Proceedings - International Conference on Distributed Computing Systems). https://doi.org/10.1109/ICDCS.2011.70