Many of my colleagues are fortunate to be able to spend a good part of their day sitting down with and listening to our customers, doing their best to understand ways that we can better meet their business and technology needs. This information is treated with extreme care and is used to drive the roadmap for new services and new features.

AWS customers in the financial services industry (often abbreviated as FSI) are looking ahead to the Fundamental Review of Trading Book (FRTB) regulations that will come in to effect between 2019 and 2021. Among other things, these regulations mandate a new approach to the “value at risk” calculations that each financial institution must perform in the four hour time window after trading ends in New York and begins in Tokyo. Today, our customers report this mission-critical calculation consumes on the order of 200,000 vCPUs, growing to between 400K and 800K vCPUs in order to meet the FRTB regulations. While there’s still some debate about the magnitude and frequency with which they’ll need to run this expanded calculation, the overall direction is clear.

Building a Big Grid

In order to make sure that we are ready to help our FSI customers meet these new regulations, we worked with TIBCO to set up and run a proof of concept grid in the AWS Cloud. The periodic nature of the calculation, along with the amount of processing power and storage needed to run it to completion within four hours, make it a great fit for an environment where a vast amount of cost-effective compute power is available on an on-demand basis.

Our customers are already using the TIBCO GridServer on-premises and want to use it in the cloud. This product is designed to run grids at enterprise scale. It runs apps in a virtualized fashion, and accepts requests for resources, dynamically provisioning them on an as-needed basis. The cloud version supports Amazon Linux as well as the PostgreSQL-compatible edition of Amazon Aurora.

Working together with TIBCO, we set out to create a grid that was substantially larger than the current high-end prediction of 800K vCPUs, adding a 50% safety factor and then rounding up to reach 1.3 million vCPUs (5x the size of the largest on-premises grid). With that target in mind, the account limits were raised as follows:

Spot Instance Limit – 120,000

EBS Volume Limit – 120,000

EBS Capacity Limit – 2 PB

If you plan to create a grid of this size, you should also bring your friendly local AWS Solutions Architect into the loop as early as possible. They will review your plans, provide you with architecture guidance, and help you to schedule your run.

Running the Grid

We hit the Go button and launched the grid, watching as it bid for and obtained Spot Instances, each of which booted, initialized, and joined the grid within two minutes. The test workload used the Strata open source analytics & market risk library from OpenGamma and was set up with their assistance.

The grid grew to 61,299 Spot Instances (1.3 million vCPUs drawn from 34 instance types spanning 3 generations of EC2 hardware) as planned, with just 1,937 instances reclaimed and automatically replaced during the run, and cost $30,000 per hour to run, at an average hourly cost of $0.078 per vCPU. If the same instances had been used in On-Demand form, the hourly cost to run the grid would have been approximately $93,000.

Despite the scale of the grid, prices for the EC2 instances did not move during the provisioning process. This is due to the overall size of the AWS Cloud and the smooth price change model that we launched late last year.

To give you a sense of the compute power, we computed that this grid would have taken the #1 position on the TOP 500 supercomputer list in November 2007 by a considerable margin, and the #2 position in June 2008. Today, it would occupy position #360 on the list.

I hope that you enjoyed this AWS success story, and that it gives you an idea of the scale that you can achieve in the cloud!

— Jeff;