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Linux Bytes Other Markets—Linux Outperforms Solaris Running

Financial Risk Management Systems

Selling Linux solutions to the financial industry is a tough job. This traditionally conservative industry has been a slow adopter of the Open Source movement. Even as this is gradually changing, better, cheaper, faster Linux solutions aimed at the financial industry begin to appear. Last year Reuters developed Value at Risk, a statistical approach predicting how much your financial investments can lose given a financial horizon. The targeted development platform for the engine was Solaris 2.7. Once it was completed, we decided to give Linux a try. Most of the third-party libraries being available—a sure sign Linux is gaining weight in the financial industry—I ported the core of the engine itself (about 100 KLOC) to Linux 2.2.14 SMP (Red Hat flavor, multiprocessor).

We tested the financial engine with Solaris on a Sun 450, a four-processor machine running at 300MHz, and with Linux on a two-processor Pentium III running at 733MHz. Table 1 shows the results on a typical individual portfolio (30+ stocks).

Table 1. Performance Comparison

On Linux the optimized engine was built using GCC with -O3 and on Solaris using SPARCworks 5.0 with -xO3. A financial engine like ours is not I/O-bound but CPU-bound (the financial properties are cached). Most of the time is spent calculating hypothetical future prices of a financial instrument and manipulating these prices (additions/multiplications, and sorting operations are involved in the financial algorithms). These tests would suggest the combination Linux/Intel is at least twice as fast than the Solaris equivalent. They are designed not to put one platform over another but as the typical request an on-line broker might send to our engine. They are real life examples, taken from common portfolio configurations.

To be fair we did not anticipate such performance gain by switching to Linux. We had in mind the deployment costs for our customers, and we were even ready to lose a bit of speed. Surprised by these tests, we ran the following test case simulating a common financial algorithm, which led to similar results (see Table 2):

for(int j=0; j<10000; j++)
    // Build a time series
    std::vector<double> ts;
    for(int i=0; i<2000; ++i)
    // Simulate the perturbation
    for(int i=0; i<2000; ++i)
    // Sort the time series
    std::sort(ts.begin(), ts.end());

Table 2. Performance Comparison II

We proved here that Linux is a viable alternative to Solaris for our product offering. Customers can choose their own deployment platform, Linux, Solaris or a combination of the two, in which case our engines will communicate with one another, some running on Solaris, some on Linux. We knew a Linux box was as reliable as Solaris. We knew it was cheaper. We know today, at least for our type of application, that it is faster. It is definitely our platform of choice, and that will contribute to the adoption of Linux in the financial community, which is a very good thing.

—Sebastien Marc

Hacker Insurance

On May 28th, ZDNet reported that J. S. Wurzler Underwriting Managers—a company that offers “hacker insurance”--now charges between 5 and 15% more to companies who employ Windows NT for internet operations (www.zdnet.com/intweek/stories/news/0,4164,2766045,00.html). Of course the numerous security holes for which Microsoft is famous were cited as one of the reasons for the increase, but more surprising was the effect of higher employee turnover in companies that use Microsoft NT. The article relates:

Wurzler found that system administrators working on open source systems tend to be better trained and stay with their employers longer than those at firms using Windows software, where turnover can exceed 33 percent per year. That turnover contributes to another problem: System administrators are not implementing all the patches that have been issued for Windows NT, Wurzler said.

The turnover results in reduced implementation of security patches, compounding the difficulties of weak MS security.

LJ History

In the August 1996 issue of Linux Journal we ran an article about Mobile-IP and its potential for allowing trouble-free mobile connectivity. With the advent of inexpensive 802.11b hardware and community projects such as Seattle Wireless (http://www.seattlewireless.net/) and the Bay Area Wireless User Group (http://www.bawug.org/), Mobile-IP is today just a few short steps from reality.