Multi-cores are coming to have a significant impact on all forms of computing and the financial sector is no exception. This sector relies heavily on message passing over networks for market data dissemination and transaction processing. However, its reliance on the traditional Ethernet standard has the potential to limit the ever increasing demand for more data at higher speeds. Furthermore, the message oriented middleware in use throughout much of the financial sector uses a centralized "broker" architecture in a hub-spoke configuration. Our previous studies with this architecture have shown the centralized "broker" to be a performance bottleneck.
This thesis demonstrates how the High Performance Computing (HPC) technology called MPI (Message Passing Interface) interacts with financial messaging. Features of our group's MVAPICH2, a middleware linking MPI with network and shared memory communication, are used to configure a simulated financial market across a multi-core cluster. This configuration avoids the centralized "broker" bottleneck while still delivering high performance. Our results show that replication of the market simulator, one instance per cluster node, outperforms a single instance of the simulator's order generation process, servicing many instances of the simulator's trade engine using inter node, networked communication. This high performance is obtained at the limit of one trade engine per node core. However, at the low order generation rates typical of many NASDAQ stocks, up to 12 instances of the simulator's trade engine may be multiplexed per CPU core, thereby further increasing the number of trades a cluster node can simulate.