High Frequency Trading in the JVM with Scala/Akka - performance

Let's imagine an hypothetical HFT system in Java, requiring (very) low-latency, with lots of short-lived small objects somewhat due to immutability (Scala?), thousands of connections per second, and an obscene number of messages passing around in an event-driven architecture (akka and amqp?).
For the experts out there, what would (hypothetically) be the best tuning for JVM 7? What type of code would make it happy? Would Scala and Akka be ready for this kind of systems?
Note: There has been some similar questions, like this one, but I've yet to find one covering Scala (which has its own idiosyncratic footprint in the JVM).

It is possible to achieve very good performance in Java. However the question needs to be more specific to provide a credible answer. Your main sources of latency will come from follow non-exhaustive list:
How much garbage you create and the work of the GC to collect and
promote it. Immutable designs in my experience do not fit well with
low-latency. GC tuning needs to be a big focus.
Warm up the JVM so that classes are loaded and the JIT has had time
to do its work.
Design your algorithms to be O(1) or at least O(log2 n), and have
performance tests that assert this.
Your design needs to be lock-free and follow the "Single Writer
Principle".
A significant effort needs to be put into understanding the whole
stack and showing mechanical sympathy in its use.
Design your algorithms and data structures to be cache friendly.
Cache misses these days are the biggest cost. This is closely
related to process affinity which if not set up correctly can result
and significant cache pollution. This will involve sympathy for the OS and even some JNI code in some cases.
Ensure you have sufficient cores so that any thread that needs to
run has a core available without having to wait.
I recently blogged about a case study of such an exercise.

On my laptop the average latency of ping messages between Akka 2.3.7 actors is ~300ns and it is much less than the latency expected due to GC pauses on JVMs.
Code (incl. JVM options) & test results for Akka and other actors on Intel Core i7-2640M here.
P.S. You can find lots of principles and tips for low-latency computing on Dmitry Vyukov's site and in Martin Thompson's blog.

You may find that use of a ring buffer for message passing will surpass what can be done with Akka. The main ring buffer implementation that people use on the JVM for financial applications is one called Disruptor which is carefully tuned for efficiency (power of two size), for the JVM (no GC, no locks) and for modern CPUs (no false sharing of cache lines).
Here is an intro presentation from a Scala point of view http://scala-phase.org/talks/jamie-allen-sdisruptor/index.html#1 and there are links on the last slide to the original LMAX stuff.

There are HFT systems written in Java, lots of them, but I've never heard of a single one written in Scala. Why?
JVM languages, where garbage collectors is a common place, are not axactly a good choice for HFT. But Java is a garbage collected language. So, what is the trick? The trick is that people code HFT in Java as if they were using C, I mean: they trade some niceties Java offers by higher control of memory allocations. The trick is basically replacing the JCF (Java Collections Framework) by mundane arrays pre-allocated in memory, or some other creative solutions.
Scala is a functional programming language which promotes heavy use of functional programming techniques, most of them backed by the collections framework. The point is: if you are going to get rid of the collections framework (by item 1 above), you are basically not using the basic building blocks of FP built in Scala. If you are not doing that in the first place, what is the point of using Scala at all?
Akka does not look to be a good option because... well... it is written in Scala. So, but items (1) and (2), we can rule out Akka too.
The point is: Technology evolved since the question was proposed in 2012. My answer is now 10 years from the future. We have far more interesting options than C or C++, the only possible options in 2012.
OK... maybe not options (in plural)... but one option: Rust.
Rust is not a garbage collected language, it is a safe programming language, it productive, it offers a rich asynchronous library, and it is pretty fast.
The only "problem" with Rust is that people responsible for steering technology in big banks and financial institutions are, in general, averse to innovation, preferring things they already know since the beginning of their long careers. So, in a nutshell, it will take some time until we see HFT systems written in Rust.

Related

What is the reason why high level abstractions that use lock free programming deep down aren't popular?

From what I gathered on the lock free programming, it is incredibly hard to do right... and I agree.
Just thinking about some problems makes my head hurt. But what I wonder is, why isn't
there a widespread use of high-level wrappers around (e.g. lock free queue and similar stuff)?
For example boost has no lock free library, although one was suggested as far as I know.
I mean I guess that there is a lot of applications where you cant avoid the fact that the critical
section is the big part of the load. So what are the reasons? Is it...
Patents - I heard that some stuff related to lock-free programming is patented.
Performance.
Google, and Microsoft have internal libraries like that but none of them are public...
Something else?
So my question is: Why are high level abstractions that use lock free programming deep down not very
popular, while at the same time "regular" multi-threaded programming is "in"?
EDIT: boost got a lockfree lib :)
There are few people who are familiar enough with the field to implement easy-to-use lock-free libraries. Of those few, even fewer publish work for free and of those almost none do the vital additional work to make the library useable - e.g. publish full API docs, etc. They tend to just release a zip file with code in, which is almost useless. Then of course you also need to find a library which is written in the language you want to use, compiles on the platform you're using and finally, word of the library has to get out, so people know it exists.
Patents are an issue, in that they limit what can be offered. There is, for example, to my knowledge no unpatented singly-linked list. All the skip list stuff is heavily patented, too.
A hero in this field is Cliff Click, who came up with a lock-free hash, which he has more-or-less placed in the public domain.
You can find my lock-free library here;
http://www.liblfds.org
Another is Samy Bahra's Concurrency Kit;
http://www.concurrencykit.org
FYI Microsoft's .Net framework gained some lock free classes in .Net 4.0. Namely container classes in the System.Collections.Concurrent namespace, which are:
ConcurrentDictionary
ConcurrentQueue
ConcurrentStack
I've looked into their implementation and they are relatively fiddly/complex under the hood therefore they do represent a significant amount of effort in designing and testing (threading issues are of course notoriously difficult to test to a high standard).
You can take a look at libcds C++ library. It is collection of lock-free containers (stacks, queues, sets and maps) and safe memory reclamation algorithms.
IMHO regarding C++ (I'm not advanced in other languages). New C++ standard has just been released and the compiler developers need a time to implement its requirements. Today, all compilers do not support C++11 memory model entirely since it requires significant changes in compiler’s optimization rules. Recently, Microsoft announces support of the atomic operations that is the base of lock-free programming in VC++ 11 Developer Preview. It is good news for us. As I know, GCC is going to support it in 4.8 (or above).
Second problem is patents. Many interesting lock-free container algorithms are patented that is a barrier to include them to vendor’s libraries.
Third, the main part of lock-free containers is garbage collecting (safe memory reclamation). C++ is free from any GC (fortunately). There are a few GC algos (Hazard Pointer, Pass-the-Buck, epoch-based and so on) but most of them are patented too.
Fourth, not enough instruments to prove the correctness of memory fences applied in your lock-free implementation. Now I known only one – relacy(http://www.1024cores.net/home/relacy-race-detector).
I think after 2-3 years we’ll see many production-ready multiplatform C++ libraries of lock-free containers and algorithms. These libraries are being developed by vendors and enthusiasts.
However, in my opinion, our future is the hardware transaction memory (HTM). Today AMD, Sun (sorry, Oracle), Intel (?) are investigating HTM with very interesting results. Let’s wait.
There is at least one "lock free” framework that is somewhat popular: Erlang.
One major problem is that unless one uses an excessive number of memory barriers, it's hard to be certain that one has enough; if one does use an excessive number of memory barriers, performance is likely to be inferior to what one would have gotten using locks.
The biggest problem with locks is not performance, but robustness. If a thread gets waylaid while it holds a lock, the system dies. By contrast, if a thread which is accessing a lock-free data structure gets waylaid, it won't affect other threads' use thereof. In some situations, a lock-free data structure may be preferable to one using locks, even if performance is inferior, because one must protect the system from being brought down by a malfunctioning thread (for example, even if one was prepared to kill off a thread which hit a StackOverflowException without taking down the process, how would one protect against a thread putting a lot of stuff on its stack before calling a method to access a lock-protected data structure that the method, such that the lock-guarded method hit a stack overflow?) If one uses lock-free data structures, such risks aren't a problem.

Is it possible to design a dynamic language without significant performance loss?

Is it possible to design something like Ruby or Clojure without the significant performance loss in many situations compared with C/Java? Does hardware design play a role?
Edit: With significant I mean in an order of magnitudes, not just ten procent
Edit: I suspect that delnan is correct with me meaning dynamic languages so I changed the title
Performance depends on many things. Of course the semantics of the language have to be preserved even if we are compiling it - you can't remove dynamic dispatch from Ruby, it would speed things up drmatically but it would totally break 95% of the all Ruby code in the world. But still, much of the performance depends on how smart the implementation is.
I assume, by "high-level", you mean "dynamic"? Haskell and OCaml are extremely high-level, yet are is compiled natively and can outperform C# or Java, even C and C++ in some corner cases - especially if parallelism comes into play. And they certainly weren't designed with performance as #1 goal. But compiler writers, especially those focused onfunctional languages, are a very clever folk. If you or I started a high-level language, even if we used e.g. LLVM as backend for native compilation, we wouldn't get anywhere near this performance.
Making dynamic languages run fast is harder - they delay many decisions (types, members of a class/an object, ...) to runtime instead of compiletime, and while static code analysis can sometimes prove it's not possible in lines n and m, you still have to carry an advanced runtime around and do quite a few things a static language's compiler can do at compiletime. Even dynamic dispatch can be optimized with a smarter VM (Inline Cache anyone?), but it's a lot of work. More than a small new-fangeled language could do, that is.
Also see Steve Yegge's Dynamic Languages Strike Back.
And of course, what is a significant peformance loss? 100 times slower than C reads like a lot, but as we all know, 80% of execution time is spent in 20% of the code = 80% of the code won't have notable impact on the percieved performance of the whole program. For the remaining 20%, you can always rewrite it in C or C++ and call it from the dynamic language. For many applications, this suffices (for some, you don't even need to optimize). For the rest... well, if performance is that critical, you should propably write it in a language designed for performance.
Don't confuse the language design with the platform that it runs on.
For instance, Java is a high-level language. It runs on the JVM (as does Clojure - identified above, and JRuby - a Java version of Ruby). The JVM will perform byte-code analysis and optimise how the code runs (making use of escape analysis, just-in-time compilation etc.). So the platform has an effect on the performance that is largely independent of the language itself (see here for more info on Java performance and comparisons to C/C++)
Loss compared to what? If you need a garbage collector or closures then you need them, and you're going to pay the price regardless. If a language makes them easy for you to get at, that doesn't mean you have to use them when you don't need them.
If a language is interpreted instead of compiled, that's going to introduce an order of magnitude slowdown. But such a language may have compensating advantages, like ease of use, platform independence, and not having to compile. And, the programs you write in them may not run long enough for speed to be an issue.
There may be language implementations that introduce slowness for no good reason, but those don't have to be used.
You might want to look at what the DARPA HPCS initiative has come up with. There were 3 programming languages proposed: Sun's Fortress, IBM's X10 and Cray's Chapel. The latter two are still under development. Whether any of these meet your definition of high-level I don't know.
And yes, hardware design certainly does play a part. All 3 of these languages are targeted at supercomputers with very many processors and exhibit features appropriate to that domain.
It's certainly possible. For example, Objective-C is a dynamically-typed language that has performance comparable to C++ (although a wee bit slower, generally speaking, but still roughly equivalent).

Are there any resources for language independent performance tips?

I work with many people that program video games for a living. I have a quite a bit of knowledge in C++ and I know a number of general performance strategies to utilize in day to day programming. Like using prefix ++/-- over post fix.
My problem is that often times people come to me to give them tips on general optimizations they can do on a regular basis when programming, but often times these people program in all sorts of languages. Some use C++, C#, Java, ActionScript, etc.
I am wondering if there are any general performance tips that can be utilized on a day by day programming basis? For example, I would suggest prefix ++/-- over postfix for people programming in another language, but I am just not sure if that is true.
My guess is that it is language specific and the best way to go about general optimizations is to make sure you are not using majorly bloated algorithms, but maybe someone has some advice.
Without going into language specifics, or even knowing whether this is embedded, web, CAD, game, or iPhone programming, there isn't much that can be said. All we know is that there's multiple languages involved, and for some unknown reason performance is always slower than desirable.
First, check your algorithms. A slow algorithm can cause horrible performance. Read up on algorithms and their complexity.
Second, note if there are any really slow operations, such as hitting a database or transmitting information or moving a robot arm. See if the program is doing more of those than it should.
Third, profile. If there's a section of code that's taking 5% of the time, no optimization will make your program more than 5% faster. If a section of code is taking a lot of the time, it's worth looking at.
Fourth, get somebody who knows what they're doing to make any specific optimizations. Test them when they're done to make sure they actually speed up performance. When performance was an issue, I've improved it with some counterintuitive measures, like rolling up loops.
I don't think you can generalize optimization as such. To optimize execution time, you need to dig deep into the language and understand how things work in detail. Just guessing or making assumptions on experiences with other languages won't work! For example, writing x = x << 1 instead of x = x*2 might be a big benefit in C++. In JavaScript it will slow you down.
With all the differences between all the languages it's hard to find generic optimization tips. Maybe for some languages which are similar (f.ex. C# and Java). But if you add both JavaScript and Python to that list I'm pretty sure not many common optimization techniques will be left over.
Also keep in mind that premature optimization is often considered bad practice. Developer-hours are much more expensive than buying additional hardware.
However, there is one thing which comes to mind. Over the past decade or so, Object Relational Mappers have become quite popular. And hence, they emerge(d) in pretty much all popular languages. But you have to be careful with those. It's easy to load tons of data into memory that you will never use in your code if not properly configured. Keep that in mind. Lazy loading might be of some help here. But your mileage will vary.
Optimization depends on so many things that answering such a generic question would make this post explode into a full-fledged paper. In my opinion, optimization should be regarded on a project-by-project basis. Not only Language-by-Language basis.
I think you need to split this into two separate questions:
1) Are there language-agnostic ways to find performance problems? YES. Profile, but avoid the myths around that subject.
2) Are there language-agnostic ways to fix performance problems? IT DEPENDS.
A general language-agnostic principle is: do (1) before you do (2).
In other words, Ready-Aim-Fire, not Ready-Fire-Aim.
Here's an example of performance tuning, in C, but it could be any language.
A few things I have learned since asking this:
I/O operations are usually the most expensive to performance. This holds especially true when you are doing disk or network I/O (which is usually the most expensive because if you have to wait for a response from the other host you have to wait for all processing and I/O operations the remote host does). Only do these operations when absolutely necessary and possibly consider using a cache when possible.
Database operations can be very expensive because of network/disk I/O and the translation time to and from SQL. Using in-memory DB or cache can help reduce I/O issues and some (not all) NoSQL databases can reduce SQL translation time.
Only log important information. Using logging libraries like log4j can help because you can put logging to your hearts desire in your application but you set each message to a certain log level. Whichever log level you set the application to it will only log messages at that level or higher. This way if you need to troubleshoot functionality you only have to change a quick config and restart you application to give you additional messages. Then when you are done just turn you application back to the default level so that you do not log too often.
Only include functionality that is needed. Additional functionality may be nice to have but can increase processing time, provide additional locations for the application to fail, and costs your team development time that could be spent on more important tasks.
Use and configure your memory manager correctly. Garbage collection routines can kill performance if they are not configured correctly. If every minute you application freezes for a second or two for garbage collection your customer probably will not be happy.
Profile only after you have discovered a performance issue. Profilers will make the applications performance look worse than it is because you have your application and the profiler running on the same host, consuming the same hardware resources.
Do not prematurely do performance tuning. There are general practices you can take that should be better on performance in each language, but starting performance tuning in the middle of application development can cost you a lot on development because there is still functionality to be added.
This is not necessarily going to help performance but keep class dependency to a minimal. When you get into performance tuning there is good chance you will have to rewrite whole portions of code, which if there is a lot of dependencies on the section you are performance tuning the greater chance you will break the code. It can often be a domino affect because after fixing the performance issue than you have to fix all the dependencies, and possibly dependencies of the original dependencies. A performance tuning exercise estimate for a few hours can quickly turn into months with an application that has a lot of dependencies.
If performance is a concern do not use interpreted languages (scripting languages).
Only use the hardware you need. Having a system with a 64 core processor may seem cool but if you only have two or three threads running in your application than you are getting little benefit from having 64 cores. In fact, in rare instances having overly excessive hardware can sometimes hurt performance because the chips have to be wired to handle all the hardware which can cause your application to spend more time switching between cores or processors than actually being processed.
Any timing metrics you report make as granular as possible. Currently, you may only need to be worried about the number of milliseconds a process takes but in the future as you make your application faster and faster you may need more granular timings. If version A uses milliseconds and version B uses microseconds, how can you compare performance if version B is taking about the same number of milliseconds. Version B may be better but you just can't tell because version A did not use granular enough metrics.

Does the advent of MultiCore architectures affect me as a software developer?

As a software developer dealing mostly with high-level programming languages I'm not sure what I can do to appropriately pay attention to the upcoming omni-presence of multicore computers. I write mostly ordinary and non-demanding applications, nevertheless I think it is important to know if I need to change any programming paradigms or even language to master the future.
My question therefore:
How to deal with increasing multicore presence in day-by-day hacking?
Herb Sutter wrote about it in 2005: The Free Lunch Is Over: A Fundamental Turn Toward Concurrency in Software
Most problems do not require a lot of CPU time. Really, single cores are quite fast enough for many purposes. When you do find your program is too slow, first profile it and look at your choice of algorithms, architecture, and caching. If that doesn't get you enough, try to divide the problem up into separate processes. Often this is worth doing simply for fault isolation and so that you can understand the CPU and memory usage of each process. Also, normally each process will run on a specific core and make good use of the processor caches, so you won't have to suffer the substantial performance overhead of keeping cache lines consistent. If you go for a multi process design and still find problem needs more CPU time than you get with the machine you have, you are well placed to extend it run over a cluster.
There are situations where you need multiple threads within the same address space, but beware that threads are really hard to get right. Race conditions, especially in non-safe languages, sometimes take weeks to debug; often, simply adding tracing or running under a debugger will change the timings enough to hide the problem. Simply putting locks everywhere often means you get a lot of locking overhead and sometimes so much lock contention that you don't really get the concurrency advantage you were hoping for. Even when you've got the locking right, you then need to profile to tune for cache coherency. Ultimately, if you want to really tune some highly concurrent code, you'll probably end up looking at lock-free constructs and more complex locking schemes than those in current multi-threading libraries.
Learn the benefits of concurrency, and the limits (e.g. Amdahl's law).
So you can, where possible, exploit the only route for higher performance that is going to be open. There is a lot of innovative work happening on easier approaches (futures and task libraries), and old work being rediscovered (functional languages and immutable data).
The free lunch is over, but that does not mean that there is nothing to exploit.
In general, become very friendly with threading. It's a terrible mechanism for parallelization, but it's what we have.
If you do work with .NET, look at the Parallel Extensions. They allow you to easily accomplish many parallel programming tasks.
To benefit from more that just one core you should consider parallelizing your code. Multiple threads, immutable types, and a minimum of synchronization are your new friends.
I think it will depend on what kind of applications you're writing.
Some kind of apps benefit more of the fact that they're run on a mutli-core cpu then others.
If your application can benefit from the multi-core fact, then you should be ready to go parallel.
The free lunch is over; that is: in the past, your application became faster when a new cpu was released and you didn't have to put any effort in your application to get that extra speed.
Now, to take advantage of the capabilities a multi-core cpu offers, you've to make sure that your application can take advantage of it. That is: you've to see which tasks can be executed multithreaded / concurrently, and this brings some issues to the table ...
Learn Erlang/F# (depending on your platform)
Prefer immutable data structures, their use makes software easier to understand not only in concurrent programs.
Learn the tools for concurrency in your language (e.g. java.util.concurrent, JCIP).
Learn a functional language (e.g Haskell).
I've been asked the same question, and the answer is, "it depends". If your Joe Winforms, maybe not so much. If your writing code that must be performant, yes. One of the biggest problem I can see with parallel programming is this: if something can't be parallized, and you lie and tell the run-time to do in parallel anyways, it's not going to crash, it's just going to do things wrong, and you'll get crap results and blame the framework.
Learn OpenMP and MPI for C and C++ code.
OpenMP also applies to other languages as well like Fortran I suppose.
Write smaller programs.
Other code languages/styles will let you do multithreading better (though multithreading is still really hard in any language) but the big benefit for regular developers, IMHO, is the ability to execute lots of smaller programs concurrently to accomplish some much larger task.
So, get in the habit of breaking your problems down into independent components that can be run whenever you want.
You'll build more maintainable software too.

Scaling multithreaded applications on multicored machines

I'm working on a project were we need more performance. Over time we've continued to evolve the design to work more in parallel(both threaded and distributed). Then latest step has been to move part of it onto a new machine with 16 cores. I'm finding that we need to rethink how we do things to scale to that many cores in a shared memory model. For example the standard memory allocator isn't good enough.
What resources would people recommend?
So far I've found Sutter's column Dr. Dobbs to be a good start.
I just got The Art of Multiprocessor Programming and The O'Reilly book on Intel Threading Building Blocks
A couple of other books that are going to be helpful are:
Synchronization Algorithms and Concurrent Programming
Patterns for Parallel Programming
Communicating Sequential Processes by C. A. R. Hoare (a classic, free PDF at that link)
Also, consider relying less on sharing state between concurrent processes. You'll scale much, much better if you can avoid it because you'll be able to parcel out independent units of work without having to do as much synchronization between them.
Even if you need to share some state, see if you can partition the shared state from the actual processing. That will let you do as much of the processing in parallel, independently from the integration of the completed units of work back into the shared state. Obviously this doesn't work if you have dependencies among units of work, but it's worth investigating instead of just assuming that the state is always going to be shared.
You might want to check out Google's Performance Tools. They've released their version of malloc they use for multi-threaded applications. It also includes a nice set of profiling tools.
Jeffrey Richter is into threading a lot. He has a few chapters on threading in his books and check out his blog:
http://www.wintellect.com/cs/blogs/jeffreyr/default.aspx.
As monty python would say "and now for something completely different" - you could try a language/environment that doesn't use threads, but processes and messaging (no shared state). One of the most mature ones is erlang (and this excellent and fun book: http://www.pragprog.com/titles/jaerlang/programming-erlang). May not be exactly relevant to your circumstances, but you can still learn a lot of ideas that you may be able to apply in other tools.
For other environments:
.Net has F# (to learn functional programming).
JVM has Scala (which has actors, very much like Erlang, and is functional hybrid language). Also there is the "fork join" framework from Doug Lea for Java which does a lot of the hard work for you.
The allocator in FreeBSD recently got an update for FreeBSD 7. The new one is called jemaloc and is apparently much more scaleable with respect to multiple threads.
You didn't mention which platform you are using, so perhaps this allocator is available to you. (I believe Firefox 3 uses jemalloc, even on windows. So ports must exist somewhere.)
Take a look at Hoard if you are doing a lot of memory allocation.
Roll your own Lock Free List. A good resource is here - it's in C# but the ideas are portable. Once you get used to how they work you start seeing other places where they can be used and not just in lists.
I will have to check-out Hoard, Google Perftools and jemalloc sometime. For now we are using scalable_malloc from Intel Threading Building Blocks and it performs well enough.
For better or worse, we're using C++ on Windows, though much of our code will compile with gcc just fine. Unless there's a compelling reason to move to redhat (the main linux distro we use), I doubt it's worth the headache/political trouble to move.
I would love to use Erlang, but there way to much here to redo it now. If we think about the requirements around the development of Erlang in a telco setting, the are very similar to our world (electronic trading). Armstrong's book is on my to read stack :)
In my testing to scale out from 4 cores to 16 cores I've learned to appreciate the cost of any locking/contention in the parallel portion of the code. Luckily we have a large portion that scales with the data, but even that didn't work at first because of an extra lock and the memory allocator.
I maintain a concurrency link blog that may be of ongoing interest:
http://concurrency.tumblr.com

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