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Sybase RAP&

Sybase CEP

Sybase

RAP & CEP 卢东明

技术总监， Sybase China

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Sybase RAP&

Sybase CEP议题

▌ 金融行业面临的挑战

▌ 业务的响应

▌ 技术的解决方案 RAP

CEP

▌ 金融行业以外的应用

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Sybase RAP&

Sybase CEP

Market Dynamics Create Extreme Pressures

Volumes, velocity, complexity of data are stressing systems

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Sybase RAP&

Sybase CEPIt is all about Speed!

Near- or sub-millisecond latency times are needed to stay competitive in the trading markets, says Low*, “but at the same time, you’re expected to be rock-solid, bulletproof, and never fail as a system and never lose data.”

best-of-breed solution was able to support latency of

less than 1 millisecond (987 microseconds) at

6,000 orders per second, with full data replication

February 4, 2008

* Gideon Low, principal architect for business development and alliances at GemStone

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Sybase RAP&

Sybase CEPNew Regulations

▌MiFID (Europe) and RegNMS (U.S.) Best execution

Must be able to prove that the trading decision was in the best interest of the customer

Need to be able to reconstitute a trade that is 5+ years old

▌Know Your Customer/Counterparty, etc Liable for business you conduct with nefarious people

Even legitimate business is not allowed

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Sybase RAP&

Sybase CEP当前体系结构的挑战

MARKET DATA

Traders, Automated Trading Apps

Management & Compliance

Reporting

CORPORATE DATA

HISTORY (time series)RESEARCH (scenarios, post-trade analysis, etc)

Quants, Model Development

TRADE & RISK DATA

P&L Monitoring, Risk Manager, Others

问题 : 专门的系统产生数据孤岛，信息孤岛，增加系统延时

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Sybase RAP&

Sybase CEP议题

▌ 金融行业面临的挑战

▌ 业务的响应

▌ 技术的解决方案 RAP

CEP

▌ 金融行业以外的应用

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Sybase RAP&

Sybase CEPNew York Stock Exchange – Then

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Sybase RAP&

Sybase CEPNew York Stock Exchange – Now

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Sybase RAP&

Sybase CEP纽约最有价值的“地产”

▌The first thing Wall Street executives want to know when they tour the New York Stock Exchange's data centers to check on the servers they've co-located there is, who is hosted in the other cabinets and why aren't their own cabinets closer to the NYSE's servers, reports Steve Rubinow, the exchange's CTO.

January 22, 2008

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Sybase RAP&

Sybase CEP创新者！

▌A challenge can also be an opportunity

▌A small hedge fund far from NY and London has figured out how to beat the markets

▌“Day trading” on steroids!

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Sybase RAP&

Sybase CEP对冲基金策略

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Sybase RAP&

Sybase CEP对冲基金策略

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Sybase RAP&

Sybase CEP电子交易 vs. 传统交易

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Sybase RAP&

Sybase CEP交易案例

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Sybase RAP&

Sybase CEP议题

▌ 金融行业面临的挑战

▌ 业务的响应

▌ 技术的解决方案 RAP

CEP

▌ 金融行业以外的应用

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Sybase RAP&

Sybase CEP关系型数据库 vs 事件处理模型

Stores data before processing

Optimized for business data processing

PollingQueries

Memory

Disk

UpdatesProcessing

Alerts Actions

Alerts Actions

CEP

Memory

Disk

Grabs, analyzes data as it flies by Different way of thinking:

Send data to the queries

Load the needles, not the haystack

Advantage: Minimal latency No waiting Results delivered in-flight

Updates

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Sybase RAP&

Sybase CEP复杂事件处理 CEP

Human speed

(seconds to minutes)

Machine speed

(msec)

Simple

events

Complex

events

事件的复杂度

处理速度

Traditional Business

Intelligence

RDBMS

Complex Event

Processing

Messaging & RoutingSystems

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Sybase RAP&

Sybase CEP最大的风险是“延迟”

More TIMEMore TIMEIt takes to know It takes to know

your position your position

More RISKMore RISK

Counterparty Risk?Liquidity Risk?

Enterprise Risk?

从事件发生到响应之间的延迟是你最大的风险

RiskTime

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Sybase RAP&

Sybase CEP波动 = 机会

▌You must Separate opportunities from background noise

Measure opportunity – Risk vs. Reward

Act on opportunity

Act FasterAct Faster More More OpportunityOpportunity

RewardTime

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Sybase RAP&

Sybase CEP

Need for complex event processing engine▌ Continuous analysis of high-speed data streams, prior to

storage▌ High-throughput ▌ Low-latency – sub-millisecond▌ Rapid development and deployment▌ Integration with ecosystem

Challenges in developing analytics apps on streaming data• Custom developed apps

• Time consuming • Expensive• Cannot be changed quickly

Solution

Complex event definitionA complex event is the discovery of a fact derived by correlating multiple events and applying rules to that set of events.

* IDC report #215785, December 2008

Financial Market DataTrading Systems

Risk SystemsApplication Data

DatabasesMessage Bus

Historical & Reference Data

Input Data Streams

CEPEngine

Output Events

Applications

Message Bus

Visualization Tools & Alerts

Databases

对 CEP 的需求

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Sybase RAP&

Sybase CEP

Capital Markets Usage

Trading• Algorithmic trading• Real-time position and portfolio analysis• Smart order routing

Risk management• Real-time risk analysis• Trader compliance monitoring• Monitor activities of exchange, or Dark

Pool members for compliance• Real time P&L analysis

Market data support and pre-trade analytics• Data latency and data quality monitoring• Data cleansing• Computation of analytics for pre-trade

use

TechnologyRequirements

High speed data capture

Real time analytics and aggregation

Computations on event windows

Connectivity to multiple systems

Rapid development and deployment

Availability, reliability, scalability

资本市场上 CEP 的使用案例

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Sybase RAP&

Sybase CEPCEP 体系结构

InternalOrder Book

Post Trade Analytics

Mar

ket D

ata

Mid

dlew

are

NYSE

AMEX

London Stock Exchange

…

Stock Exchanges

Database

Sybase CEP

Visualization Tools

Risk Management Systems

Order Management Systems

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Sybase RAP&

Sybase CEPSYBASE CEP SERVER ARCHITECTURE

Input Streams

Sybase CEP Engine

Sybase CEP Studio & SDKs

External Databases & Applications

In-process Adapters

Out-of-process

Adapters

In-process Adapters

OutputStreams

Real-time Analytics

In-Memory Cache

Clustering & HA

Event-Driven Reads/Writes

SQL-like Language

Event Replay

Sybase RAP

Out-of-process

Adapters

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Sybase RAP&

Sybase CEP

“CONTINUOUS COMPUTATION LANGUAGE – CCL”

▌ Sybase CEP is programmed using CCL, which is very “SQL Like” but also rich with intuitive streams processing extensions

▌ CCL queries are executed continuously▌ CCL language has support for stream processing, such as Windows,

which is key for analytics on event streams▌ Database SQL queries can be executed as part of the CCL language,

and joins between elements in the database and the data stream in CEP can be done

Example CCL Query

Calculation of 10 minute VWAPS

INSERT INTO VWAPEventStreamSELECT StockTickerSymbol, SUM(StockPrice*StockVolume)/SUM(StockVolume)FROM TradesEventStream KEEP 10 MINUTES GROUP BY StockTickerSymbolOUTPUT EVERY 10 MINUTES

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Sybase RAP&

Sybase CEPSybase RAP – The Trading Edition

A powerful, flexible market analytics platform for capital markets

Enables better trading and portfolio decisions with less risk through timelier, more comprehensive market insight.

Shared access to consolidated data across the trade lifecycle:

High-performance quantitative analytics Real-time trade analytics Intra-day risk analytics Regulation-driven analytics

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Sybase RAP&

Sybase CEP

Sybase RAP – The Trading Edition supports different trade lifecycle analytics requirements by layering various technologies to optimize performance as needed according to speed, computational complexity, or types of data.

Sybase RAP – The Trading Edition A Complete Platform for Optimized Performance

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Sybase RAP&

Sybase CEPSYBASE RAP & CEP OPTION

完整的 RAP 平台 – 单一厂商Sybase’s CEP option enables you to quickly deploy live analytic applications that

provide up-to-the-moment intelligence on market and trade data

交易及算法支持Pre-trade analytics

Construct, test and implement real-time models and strategies for traders

Comprehensive views into years of granular market, trade and statistical data

Rapid deployment of strategies and models into a scalable, real-time infrastructure

风险分析Continuous computation of profit and loss on a

trade-by-trade basis, aggregating this information across multiple portfolios

Real-time calculation of risk at granular and summary levels

Delivery of risk information to the right people at the right time in the right format

业务定位

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Sybase RAP&

Sybase CEP“ 速度”及“深度”

▌Speed – Know there is a material event happening

▌Depth – Know the risk/reward

▌Sybase CEP = Speed Event

▌Sybase RAP = Speed Analysis + Depth

Sybase RAP+ Sybase CEP Option

Speed Event + Speed Analysis + Depth

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Sybase RAP&

Sybase CEP议题

▌ 金融行业面临的挑战

▌ 业务的响应

▌ 技术的解决方案 RAP

CEP

▌ 金融行业以外的应用

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Sybase RAP&

Sybase CEPOpportunities Beyond Financial Services

▌电信 预付费电话授权，欺诈分析，网络监控，入侵检测 / 防

范，会话管理▌政府，安全及监控

情报监控，战地协调，国土安全▌实时供应链 / 物流 / 制造业

库存准确性，送货确认，质量跟踪

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Sybase RAP&

Sybase CEP金融行业以外的应用

▌交通运输业 风险控制，调度，派送，路线规划

▌互联网 /Web 点击流分析，网络游戏，入侵监控 / 防范

▌RFID 库存管理，集装箱跟踪， ID 牌及安全控制，

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Sybase RAP&

Sybase CEP金融行业以外的应用

▌零售业 产品关联分析， CRM, 库存管理，订单管理，脱

销， POS

▌媒体和娱乐业 内容及服务的动态包装，版权付费

▌医疗卫生 / 保险 资产管理，理赔操作，账单管理，欺诈分析

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Sybase RAP&

Sybase CEP总结

▌Volume and Velocity are Overwhelming Financial Services

▌Challenges & Opportunities Compliance with RegNMS, MiFID

New trading strategies

▌New technology is changing the markets Market changes demand new technology, then the new

technology changes the markets

▌Coming to an IT Department Near You – SOON!

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Sybase RAP&

Sybase CEP

www.sybase.com/rap