{"title":"Fast, Low-Memory Algorithm for Construction of Nanosecond Level Snapshots of Financial Markets","authors":"R. Sinkovits, Tao Feng, Mao Ye","doi":"10.1145/2616498.2616501","DOIUrl":null,"url":null,"abstract":"We present a fast, low-memory algorithm for constructing an order-by-order level snapshot of financial markets with nanosecond resolution. This new implementation is 20-30x faster than an earlier version of the code. In addition, since message data are retained only for as long as it they are needed, the memory footprint is greatly reduced. We find that even the heaviest days of trading spanning the NASDAQ, NYSE and BATS exchanges can now easily be handled using compute nodes with very modest memory (~ 4 GB). A tradeoff of this new approach is that the ability to efficiently manage large numbers of small files is more critical. We demonstrate how we can accommodate these new I/O requirements using the solid-state storage devices (SSDs) on SDSC's Gordon system.","PeriodicalId":93364,"journal":{"name":"Proceedings of XSEDE16 : Diversity, Big Data, and Science at Scale : July 17-21, 2016, Intercontinental Miami Hotel, Miami, Florida, USA. Conference on Extreme Science and Engineering Discovery Environment (5th : 2016 : Miami, Fla.)","volume":"19 1","pages":"16:1-16:5"},"PeriodicalIF":0.0000,"publicationDate":"2014-07-13","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":"1","resultStr":null,"platform":"Semanticscholar","paperid":null,"PeriodicalName":"Proceedings of XSEDE16 : Diversity, Big Data, and Science at Scale : July 17-21, 2016, Intercontinental Miami Hotel, Miami, Florida, USA. Conference on Extreme Science and Engineering Discovery Environment (5th : 2016 : Miami, Fla.)","FirstCategoryId":"1085","ListUrlMain":"https://doi.org/10.1145/2616498.2616501","RegionNum":0,"RegionCategory":null,"ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":null,"EPubDate":"","PubModel":"","JCR":"","JCRName":"","Score":null,"Total":0}
引用次数: 1
Abstract
We present a fast, low-memory algorithm for constructing an order-by-order level snapshot of financial markets with nanosecond resolution. This new implementation is 20-30x faster than an earlier version of the code. In addition, since message data are retained only for as long as it they are needed, the memory footprint is greatly reduced. We find that even the heaviest days of trading spanning the NASDAQ, NYSE and BATS exchanges can now easily be handled using compute nodes with very modest memory (~ 4 GB). A tradeoff of this new approach is that the ability to efficiently manage large numbers of small files is more critical. We demonstrate how we can accommodate these new I/O requirements using the solid-state storage devices (SSDs) on SDSC's Gordon system.
京公网安备 11010802042870号
京ICP备2023020795号-1
分享
求助内容：
应助结果提醒方式：
扫码关注我们
