Having been in software long enough to work across industries and with a variety of distributed systems, I know every system has its day. Software and systems engineers create performance requirements, latency constraints, and sweat the details on software quality. Their hard work ensures retail sites stay online through black Friday, ad campaigns survive the Superbowl, accounting systems make it through tax season, and media sites stay up to date during the election. And that’s not even counting safety critical systems we rely on each day, systems that keep our hospitals, our vehicles, and our industries humming.

Last week was record setting for the financial markets. We saw a few days in the top-ten all time value traded in equities ($791B) as well as Thursday and Friday this week in the top 15 days ever on volume in equities. If you are a software or hardware engineer in FinTech, most likely you’re seeing greater processing volume and much higher than average usage of your systems. Market volume, volatility, and events like the 4.4% one-day point drop in the Dow, the highest ever, have had cascading impacts across calculation, analytics, risk, portfolio accounting, and pretty much every system that touches the markets. If you are lucky enough to work with real-time market data, this was (hopefully) a defining week that really showed what your systems can do! If not, this was a week that should make it easy to justify addressing gaps and taking action on your lessons learned.

Better, Continuously

At PEAK6 Capital Management, we’ve been in the options markets and successful for over 22 years. Last week’s market activity highlighted not only the collaborative environment we have between our trading desk and engineering, but was also a testament to the continuous evolution of our trading systems. These systems allow us to provide liquidity, increase market flow, and carry risk when our counterparties need it most. They do this by giving our traders a view of the markets, a view of our positions, and the ability to analyze and act on opportunities as conditions change.

In order to make sure we keep getting better, our product and engineering teams push on technical initiatives. Adopting infrastructure as code, updating our service mesh, coordinating nightly processing with Apache Airflow, unifying streaming data pipelines using Apache Kafka, and leaning on Kubernetes for scheduling have made it easier than ever to scale, deploy, and quickly adjust to changing demands on our systems. That’s not to say we don’t run into issues or occasionally exit the market when our risk checks deem it necessary. Rather, we’re continually learning and continually making our systems more resilient, better able to meet demand.

Great systems are built on a clear understanding of their non-functional requirements (e.g. all those architectural “-ilities”, like availability, usability, maintainability, extensibility, scalability, etc). At PEAK6, our systems are built for low-latency (in the millis) market analysis and trading strategy execution. We are not a high-frequency trading platform, and by making this distinction, we have a bit more flexibility choosing between our systems’ maintainability and scalability. However, as you’ll see in the numbers below, we still love our metrics and understanding exactly how our systems are performing.

So, what do record setting market conditions look like for an options trading platform?

Record Setting, Unprecedented

In order to understand how last week went for our systems, it’s necessary to understand historic market values. The following chart shows all previous market selloffs with number of days from peak to 10% drawdown. The drop last week moved ridiculously fast, only taking six days!

Source: Heisenberg Report, Nomura’s Charlie McElligott

If we look at the S&P 500 (SPY), we can see the free fall (left) and overall SPY traded on Friday (right) was the highest it has ever seen (104.27B).