Reordering transaction execution to boost high frequency trading applications

Abstract

High frequency trading (HFT) has always been welcomed because it benefits not only personal interests but also the whole social welfare. While the recent advance of portfolio selection in HFT market generates more profit, it yields much contended OLTP workloads. Featuring in exploiting the abundant parallelism, transaction pipeline, the state-of-the-art concurrency control (CC) mechanism, however suffers from limited concurrency confronted with HFT workloads. Its variants that enable more parallel execution by leveraging find-grained contention information also take little effect. To solve this problem, we for the first time observe and formulate the source of restricted concurrency as harmful ordering of transaction statements. To resolve harmful ordering, we propose PARE, a pipeline-aware reordered execution, to improve application performance by rearranging statements in order of their degrees of contention. In concrete, two mechanisms are devised to ensure the correctness of statement rearrangement and identify the degrees of contention of statements respectively. Experiment results show that PARE can improve transaction throughput and reduce transaction latency on HFT applications by upto an order of magnitude than the state-of-the-art CC mechanism.