PUBLISH-SUBSCRIBE FRAMEWORK FOR APPLICATION EXECUTION

• US 20190332449A1
• Filed: 04/25/2019
• Published: 10/31/2019
• Est. Priority Date: 04/27/2018
• Status: Active Grant

• Current Assignee: Nasdaq Technology AB (Nasdaq, Inc.)
• Original Assignee: Nasdaq Technology AB (Nasdaq, Inc.)
• Inventors: ADOLFSSON, Robert, HILTON, Daniel
• Granted Patent: US 10,810,064 B2
• Time in Patent Office: Days
• CPC Class Codes: G06F 2209/5017 Task decomposition
• CPC Class Codes: G06F 2209/547 Messaging middleware
• CPC Class Codes: G06F 2209/548 Queue
• CPC Class Codes: G06F 9/5027 the resource being a machine, e.g. CPUs, Servers, Terminals
• CPC Class Codes: G06F 9/5038 considering the execution order of a plurality of tasks, e.g. taking priority or time dependency constraints into consideration scheduling strategies G06F9/4881 and subgroups
• CPC Class Codes: G06F 9/5066 Algorithms for mapping a plurality of inter-dependent sub-tasks onto a plurality of physical CPUs mappping at compile time, see G06F8/451
• CPC Class Codes: G06F 9/542 Event management; Broadcasting; Multicasting; Notifications
• CPC Class Codes: G06F 9/544 Buffers; Shared memory; Pipes
• CPC Class Codes: G06F 9/546 Message passing systems or structures, e.g. queues
• CPC Class Codes: G06Q 10/06 Resources, workflows, human or project management; Enterprise or organisation planning; Enterprise or organisation modelling
• CPC Class Codes: G06Q 40/04 Trading; Exchange, e.g. stocks, commodities, derivatives or currency exchange

Abstract

The described technology relates to a publish-subscribe message framework in which an application, decomposed to a plurality of processing stages, is run by executing respective processing stages of the application asynchronously and simultaneously with each other. Communications between the respective processing stages may exclusively be in accordance with the publish-subscribe execution model. The described publish-subscribe framework provides for processing stages to be executed in a multi-process and/or multi-threaded manner while also enabling the distribution of the processing stages to respective processing resources in a multi-processor/multi-core processing environment. An example electronic exchange application and a corresponding example exchange gateway application are described.

Claims

1. An electronic exchange system, comprising:

a shared memory;

a communication infrastructure; and

a processing system comprising a plurality of processing resources coupled by the communication infrastructure to the shared memory,

wherein the processing system is configured to perform operations comprising;

executing, on each of the processing resources, at least one pipeline processing stage of a plurality of pipeline stages of a processing pipeline of an application;

providing for communication between any two of the plurality of pipeline stages via publish-subscribe messages using the shared memory;

in response to a received data message, completing processing of the data message in the application by processing the data message in an asynchronously and simultaneously executing plurality of the pipeline stages to generate an output message; and

transmitting the output message.

2. The electronic exchange system according to claim 1, wherein the processing system is further configured to:

execute each of the plurality of pipeline stages as a thread;

in response to a user request, form a session for the user;

associate with the session, a subscriber and/or a publisher for each of the pipeline stages; and

perform said processing the data message by causing messages to be exchanged between respective pairs of publishers and subscribers among the associated publishers and the associated subscribers.

3. The electronic exchange system according to claim 2, wherein the processing system is further configured to:

instantiate a control session;

subscribe each of the pipeline stages to the control session; and

provide for signaling one or more predetermined events to the plurality of pipeline stages by publishing to the control session.

4. The electronic exchange system according to claim 2, wherein the processing system is further configured to perform said causing messages to be exchanged between respective pairs of publishers and subscribers by storing one of the messages to an area in the shared memory, and providing a pointer to the area to at least one of the subscribers.

5. The electronic exchange system according to claim 2, wherein the processing system is further configured to configure the area as a lock free queue.

6. The electronic exchange system according to claim 2, wherein the processing system is further configured to perform said causing messages to be exchanged between respective pairs of publishers and subscribers by storing one of the messages to an area in the shared memory, and providing a pointer to the area to a plurality of the subscribers.

7. The electronic exchange system according to claim 2, wherein the processing system is further configured to:

receive a program code; and

decompose the program code to obtain the plurality of pipeline stages, each comprising an ingress message interface and an egress message interface.

8. The electronic exchange system according to claim 7, wherein the processing system is further configured to perform said decomposing in accordance with one or more configuration parameters.

9. The electronic exchange system according to claim 7, wherein the processing system is further configured to determine an arrangement of the plurality of pipeline stages to the plurality of processing resources.

10. The electronic exchange system according to claim 9, wherein the processing system is further configured to determine the arrangement based on the ingress message interface and the egress message interface of the pipeline stages.

11. The electronic exchange system according to claim 1, wherein the processing system is further configured to perform said processing the data message by accessing a matching engine with respect to the data message.

12. The electronic exchange system according to claim 11, wherein the processing system is further configured to perform said processing the data message in a plurality of the pipeline stages by said accessing the matching engine in parallel for said trade request and another trade request.

13. The electronic exchange system according to claim 12, wherein the processing system is further configured to dynamically determine a number of instances of a pipeline stage for said accessing the matching engine.

14. The electronic exchange system according to claim 1, wherein the processing system is further configured to perform said processing the data message by gateway processing the data message, and to transmit the gateway processed data message to a matching engine.

15. The electronic exchange system according to claim 14, wherein the processing system is further configured to perform said processing the data message by gateway processing the data message, and to transmit the gateway processed data message to a matching engine.

16. A method of processing a data message on an electronic exchange system having a shared memory, a communication infrastructure and a processing system comprising a plurality of processing resources coupled by the communication infrastructure to the shared memory, the method comprising:

executing, on each of the processing resources, at least one pipeline processing stage of a plurality of pipeline stages of a processing pipeline of an application;

providing for communication between any two of the plurality of pipeline stages via publish-subscribe messages using the shared memory;

in response to a received data message, completing processing of the data message in the application by processing the data message in an asynchronously and simultaneous executing plurality of the pipeline stages to generate an output message; and

transmitting the output message.

17. The method according to claim 16, wherein the method further comprises:

executing each of the plurality of pipeline stages as a thread;

in response to a user request, forming a session for the user;

associating with the session, a subscriber and/or a publisher for each of the pipeline stages; and

performing said processing the data message by causing messages to be exchanged between respective pairs of publishers and subscribers among the associated publishers and the associated subscribers.

18. The method according to claim 16, further comprising causing messages to be exchanged between respective pairs of publishers and subscribers by storing one of the messages to an area in the shared memory, and providing a pointer to the area to at least one of the subscribers.

19. A non-transitory computer-readable storage medium storing instructions which, when executed by a processing system comprising a plurality of processing resources coupled by a communication infrastructure to a shared memory, causes the processing system of an electronic exchange system to perform operations comprising:

executing, on each of the processing resources, at least one pipeline processing stage of a plurality of pipeline stages of a processing pipeline of an application;

providing for communication between any two of the plurality of pipeline stages via a publish-subscribe messages using the shared memory;

in response to a received data message, completing processing of the data message in the application by processing the data message in an asynchronously and simultaneously executing plurality of the pipeline stages to generate an output message; and

transmitting the output message.