McObject, Fultech & Kove Compress Timescale in Real-Time Financial Risk Solution, Pointing Way to Regulatory Compliance, Safer Trading
April 8, 2013 — Building on recent record-setting STAC-M3 financial data management benchmarks, McObject® and partners Kove and Fultech Consulting announced successful completion of a new risk management proof-of-concept that implements complex analysis and reporting on a highly compressed timescale. The throughput achieved by this prototype – greater than 65 TB per hour of sustained, deterministic risk analysis on market data (approximately 950 million calculations per second on 4 host servers) – pushes the boundary of current risk technology and points the way toward meeting challenging requirements that are emerging under global regulatory changes.
McObject, Kove and Fultech focused on risk management for the new technology prototype due to a growing demand in this application category for comprehensive analysis, delivered on tighter deadlines. Today, many trading organizations can only view counterparty exposure infrequently, often via end-of-day batch processing. However, regulations emerging under Dodd Frank, Basel III and other reforms, combined with market participants’ desire for greater safeguards, are pushing firms to seek intra-day and even real-time risk management solutions.
Fultech, a leading capital markets advisory services company, designed the proof-of-concept’s test scenario to reflect these new performance demands. It measures portfolio exposure of 50,000 accounts, each with 3,278 positions, using a 10-year historical value-at-risk (VaR) model, and sets out to achieve a processing time of less than 10 minutes. Meeting the challenge, McObject’s eXtremeDB® Financial Edition database system running on four servers performed the approximately 428 billion calculations required in less than 8.5 minutes. It handled approximately 13.5 terabytes of data, reduced to 3.5 terabytes of Kove® XPD™ L2 storage, to demonstrate continuous, sustained, deterministic and random financial model processing of approximately 950 million calculations per second and 65 terabytes per hour.
For McObject and Kove, the simulation echoed another recent record-setting performance. Last fall, the independent Securities Technology Analysis Center (STAC®) documented a technology stack based on eXtremeDB Financial Edition and Kove’s storage achieving the lowest mean response times ever reported for 15 of 17 STAC-M3™ benchmarks of time-series data management. The tests comprised complex queries designed by trading firms to reflect real-world capital markets computing demands.
“The proof-of-concept with Kove and Fultech applies technology proven in the STAC-M3 benchmark tests to a more specific financial IT problem domain, where market participants face concrete, timely challenges. The simulation confirms risk management as an area of trading where eXtremeDB Financial Edition helps to deliver multiple benefits, including helping firms meet regulatory requirements and protect capital, while contributing to greater overall market stability,” said Steve Graves, McObject CEO.
Graves said that while the initial simulation utilized 128 cores on four “commodity” servers, the risk management proof-of-concept will scale economically to much higher performance and capacity. Focusing on the database architecture, he attributed its high throughput to the following:
- Database operations are parallelized, with each core running a separate instance of eXtremeDB Financial Edition and the risk management application, managing a separate data set
- eXtremeDB Financial Edition works directly against “raw” volumes (partitions) in Kove storage, bypassing the slower OS file system
- Each DBMS instance can write to multiple volumes, parallelizing I/O
- eXtremeDB Financial Edition’s columnar data handling and “pipelining” of vector-based statistical functions are an ideal fit for risk management’s time series data, significantly reducing latency
Applying the Kove and McObject technologies, trading firms can have a continually updated view of their exposures every few minutes regardless of their data footprint, Fultech Managing Partner Paul Constantino said.
“These compelling results from our risk simulation are a promising first step to enabling and delivering complex intra-day and eventually real-time functionality previously not possible in the risk and analytics space. We also see great potential for use of these technologies across the trade lifecycle and plan to release new applications in the coming months. The successes our technology partners have demonstrated clearly pave the way for a new paradigm in performance, functionality, and scalability in the capital markets,” Constantino said.
“We are pleased with this unprecedented high performance real-time risk solution record, another Kove first. This collaboration in deploying the Kove® XPD™ L2 memory disk for financial services is a continuation of our leadership in high performance storage, providing real world solutions for those who want the competitive advantage of the absolute fastest storage available,” stated John Overton, KOVE CEO.
Founded in 2001, Fultech Consulting is a capital markets advisory services company specializing in the delivery of innovative, enterprise-level solutions to financial markets clients. Focusing on trading, derivatives, risk, compliance and prime brokerage, Fultech delivers customized solutions implementing the latest technologies to improve performance and scalability.
Formed in 2004, Chicago-based Kove is a pioneering leader in high performance memory-disk SSD storage. Kove provides patented, performance-based storage solutions to address the most competitive I/O needs in the industry. Visit kove.com.
Founded by embedded database and real-time systems experts, McObject offers proven data management technology that makes capital markets technology faster, more reliable and more cost-effective to develop and maintain. McObject counts among its customers industry leaders such as TradeStation, NSE.IT, SunGard Kingstar, Transaction Network Services, Dalian Commodity Exchange, Financial Technologies of India Ltd. (FTIL), BAE Systems, Northrop Grumman, Siemens, Philips, EADS, Spirent Communications, F5 Networks, Motorola and Boeing.McObject, based in Issaquah, WA, is committed to providing innovative technology and first-rate services to customers and partners. The company can be reached at +1-425-888-8505, or visit http://financial.mcobject.com.
McObject and eXtremeDB are registered trademarks of McObject LLC. All other company or product names mentioned herein are trademarks or registered trademarks of their respective owners.