Tier 1 Investment Bank: Ensuring predictable latency in FX trading with Aeron

A Tier‑1 global investment bank shared their FX trading journey with Aeron, highlighting the challenges they faced, the adoption process, and the significant improvements achieved. Our blog summarizes some of the key points discussed.

Challenges faced at a Tier‑1 global investment bank

Before adopting Aeron, the bank’s FX E-trading pricing & distribution stack faced several challenges:

• High spec hardware requirement: Components were deployed on a single host, necessitating high-spec machines and a shared memory solution, which in turn posed limitations in terms of scalability and resource management.

• Managing resources was tricky, with contention among different teams.
• The limits of vertical scaling in a cost-effective manner were reached, potentially impacting business growth.

• Latency issues: The existing system exhibited high latencies, particularly in the price construction to price distribution process for certain currency pair quotes.

Addressing the challenges – why the investment bank chose Aeron

The firm wanted to send pricing to other machines within the set-up but without increasing latency. They chose Aeron for several compelling reasons, focusing on the ability to provide reliable, low-latency messaging and flexible deployment options. Here are the core points:

• Message-oriented communication: Aeron guarantees the ordering of messages, which is crucial for accurate data transmission. It also leverages the same API for IPC and UDP which enables easier message dissemination.
• Reliability: Whilst UDP based, Aeron is designed to handle message loss with built-in mechanisms for recovery.
• Predictable low latency: Aeron focuses on consistent low latency; the low jitter from Aeron stood out during the evaluation period.

Additionally, Aeron is designed as a reusable library rather than an opinionated framework, making it adaptable to various use cases. It employs garbage-free operations to avoid garbage collection pauses, uses lock and wait-free algorithms in the message path, and ensures non-blocking I/O for smooth operation.

The single writer principle and preference for unshared state help avoid contention and unnecessary data copies. Aeron also provides flexible configuration options, including various threading models, flow control, and transport options, making it well-suited for fast distribution of quote messages to multiple consumers.

The investment bank’s roll out of Aeron

The firm’s adoption of Aeron involved several key steps:

• POC: Starting with a POC.
• Evaluation: A small team then evaluated Aeron and developed a wrapper library to facilitate integration.
• Consultancy: The bank leveraged a small amount of consultancy from Adaptive to unblock issues and expedite the adoption process.
• Integration: The Aeron wrapper was embedded into various FX pricing components, ensuring consistency and smooth integration into the existing systems.

The investment bank ultimately replaced their shared memory solution with Aeron IPC (Inter-Process Communication), which supports low-latency remote services. This transition allowed the firm to componentize its architecture, providing more flexibility in distributing prices and maintaining state in a resilient manner.

The benefits of using Aeron in a Tier 1 investment bank trading architecture

The client team have been pleased with the initial results which included:

• Predictable, low latency: The implementation of Aeron significantly reduced latencies in the price construction to price distribution process for certain currency pair quotes and, moreover, greatly reduced outliers.
• Enhanced architectural deployment options: Aeron provided more architectural and deployment options, making the system less invasive and more loosely coupled compared to the previous solution.
• Message compatibility: It provides support for backward and forward compatibility via SBE encoding (serialisation technology).
• Fast and reliable transport: Aeron offers a fast and reliable remote messaging transport.
• Flexibility: The ability to switch between IPC and UDP multicast seamlessly.

Conclusion and future work

The bank plans to extend the usage of Aeron in future. This includes…

• Recording and replaying via Aeron Archive.
• Other asset classes: Extending Aeron use to rates, equities, etc.
• Componentization: Continuing to leverage Aeron to componentize the architecture.
• Leveraging Aeron Cluster for resilience use cases.
• Internal Cloud: Moving auxiliary non-core components to the bank’s internal cloud to free up hardware.