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Quantitative Finance · Glossaire

Qu'est-ce que « Exactly-once processing » ?

Definition 24.6 Research, Data and Risk Platforms · Chapitre 24 — Messaging and Event-Driven Architecture

Exactly-once processing is the guarantee that each message’s effect on the consumer’s state happens once, whatever the crashes: obtained not from the transport, which can only deliver at least once, but by making the effect idempotent (Book 13, chapter 24) or by storing the state and the offset in one atomic transaction.

Fills lost and duplicated per 1 000 consumer crashes, over a hundred days of ten crashes in each mode. Committing first loses about half a batch per crash (50 323 per 1 000); committing after duplicates as much (48 652); state and offset in one transaction, none. Data: fig_eventlog.py.
Figure 24.2. Fills lost and duplicated per 1 000 consumer crashes, over a hundred days of ten crashes in each mode. Committing first loses about half a batch per crash (50 323 per 1 000); committing after duplicates as much (48 652); state and offset in one transaction, none. Data: fig_eventlog.py.
The largest end-of-day position error in any account and stock, for each of the hundred days, sorted. Ten crashes a day leave a median worst error of 3 500 shares when committing first and 3 800 when committing after, and up to 5 100 and 6 500; the atomic mode ends every day exact. Data: fig_eventlog.py.
Figure 24.3. The largest end-of-day position error in any account and stock, for each of the hundred days, sorted. Ten crashes a day leave a median worst error of 3 500 shares when committing first and 3 800 when committing after, and up to 5 100 and 6 500; the atomic mode ends every day exact. Data: fig_eventlog.py.
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