A Customized Linux Kernel for Providing Notification of Pending Financial Transaction Information

Abstract

Financial transaction systems, such as those utilizing the Financial Information Exchange (FIX) protocol, must make buy/sell decisions based on information received over a network interface. However, at the time that a decision to buy or sell is made, some data on the system may not yet be visible to the financial engine software because it has not yet completed being processing by the network protocol stack. This data is hidden from a FIX engine running in user space until the network protocol processing (in the kernel) is fully completed and the message contents are copied from kernel space to user space. This hidden data may contain information that would lead to a more advantageous transaction if it were available to the financial application at the time that the trade decision is made. We have made several modifications to the TCP/IP protocol stack in the Linux operating system. Our protocol modifications allow a user application to determine if there are pertinent pending messages currently being processed in the kernel. If this is the case, the user application may then choose to delay the buy/sell decision by a short time until these additional messages have completed kernel processing and become available to the user application. We have implemented this mechanism under Linux 2.6.27.24 and are evaluating alternate implementations and the significance of the decision improvements that result from this enhancement.