trading-shim Screen Shots

Thursday 02 September 2010 (Market close) ... ^AAPL _252.17 ... ^AMD _5.93 ... ^AMZN _135.21 ... ^BRCD _5.60 ... ^CRM _119.12 ... ^CRM _119.12 ... ^CSCO _20.52 ... ^DELL _12.36 ... ^EFII _11.02 ... ^EK _4.00 ... ^ELX _9.95 ... ^EMC _19.57 ... ^GOOG _463.18 ... ^HPQ _39.68 ... ^IBKR _16.58 ... ^IBM _125.04 ... ^INTC _18.28 ... ^JAVA _0.00 ... ^LNUX _0.00 ... ^LXK _37.22 ... ^MSFT _23.94 ... ^NOVL _5.84 ... ^NTAP _43.07 ... ^ORCL _22.48 ... ^PBI _19.81 ... ^QLGC _15.71 ... ^RHT _36.54 ... ^SAP _45.30 ... ^STX _10.99 ... ^SY _0.00 ... ^TIBX _14.99 ... ^UIS _24.92 ... ^WIND _0.00 ... ^XRX _8.93 ... ^YHOO _13.51 ... Current time: 08:13

trading-shim Screen Shots

Market data (tickstream)

Market Data, and History data, in /var/log/messages

We extract from /var/log/messages both Market data, and History information, as retrieved by the trading-shim, for the Dow Mini, a 'FUT' (Future), ticker 'YM', traded through Interactive Brokers through their 'SMART' exchange.

Order management

[full size, in a new panel for study]
This is an interesting screen shot on the way to orders -- The tool being used to 'visualize' the network packet flow is tcpdump. All sniffing is being done at the client [IP: 10.16.1.101] running the shim.

The order was placed from the client computer by the bin/unsafe testing script driving the shim with commands (center left panel); this uses the database information which ships with the standard trading-shim SQL load, using: sql/create.sql :

verb 2 Detail; load; tick add 166 1; wire(1,MKT,Submit,100,0.0,0.0,0); wire(2,MKT,Submit,100,0.0,0.0,0); ...

which are reflected by the notation:

subscribe to AIG wire AIG BUY MKT wire AIG SELL ...

In turn (in part), the shim consulted its database of 'Contract ID's' to validate the command, and then converted this to a socket command stream (top right panel) that the TWS can understand, and sent to the TWS across the network:

13:38:34.086341 AIG.STK..0.00..1.SMART..USD..SELL.100.MKT.0.0.0.0.DAY

As said, that was sent out on the wire to another computer [IP: 10.16.1.105] running the TWS.

That upstream computer communicated to IB, and then returned a execution report of it being filled as received back from IB by that TWS. This is out of the screenshot, as it would not fit both frames:

13:38:34.251194 STK..0.0..SMART.USD.AIG.00018037. 4417814c.01.01.20061102..13:38:34.DU10126.ISLAND.SLD.100

and then summarized again in the screenshot (lower right panel),

13:38:34.251666 Filled.100.0.66.57.1138369443.0.66.57.13309.

The very last line in the panel peeking from underneath at the bottom left shows the trade:

SLD 100 AIG Stock AIG 66.57 USD ISLAND 20061102 13:38:34 00018037...

And the shim reports the trade in the fourth through sixth lines starting with the word: Nov in the top left panel. Note that these lines wrap across the screen and are displayed with a spillover linewrap continuation. We spread them out a bit here

Nov 2 13:38:34 centos-4 : shim|real|0.26|13308|49114| 3195892|1|11|4|2|AIG|STK||0.0||SMART|USD|AIG|00018037.4417814c.01.01|20061102 13:38:34|DU10126|ISLAND|SLD|100|66.57|1138369443|13309|0| Nov 2 13:38:34 centos-4 : shim|real|0.26|13308|49114| 3195945|1|3|5|2|Filled|100|0|66.57|1138369443|0|66.57|13309| Nov 2 13:38:34 centos-4 : shim|real|0.26|13308|49114| 3204857|1|3|5|2|Filled|100|0|66.57|1138369443|0|66.57|13309|

Order takeaways

Yes, the order completed round trip, from transmission of a well-formed request to fill confirmation, in 0.164853 Sec., and the shim finished reporting the fill in a formatted form to the downstream client through logging 0.000472 Sec. after that. Sub Second fills, and sub milliSecond reporting. We are really pleased with the speed here, in light of our focus on 'design for scalability to hundreds of simultaneous lines of inquiry'.

The tcpdump command lines used in the right side panels were thus:

sudo /usr/sbin/tcpdump -i eth0 -s 0 -nnxX port 7496 and src host 10.16.1.101

and

sudo /usr/sbin/tcpdump -i eth0 -s 0 -nnxX port 7496 and dst host 10.16.1.101

The ImageMagick import command was used to take the screenshot, as indicated.