15,000 quotes repriced within a minute

One of my bond pricing engines could price about 15,000 offers/bids in about a minute. 4 slow lanes to avoid
 
1) database persistence is done asynchronously by gemfire write-behind.

2) offers/bids we produce must be verified by another system, which officially owns the OutgoingQuote table. The verification takes a long time. We avoid that overhead by pricing all the offers/bids in gemfire, then send them out by batch, then wait for the result. The 1 minute speed is without the verification.

3) all reference data is preloaded into gemfire, so no more disk I/O.

4) minimal serialization overhead, since most of the objects needed are in local JVM.

In contrast, a more complex engine, the mark-to-market engine needs a few minutes to price 15,000 positions. This engine doesn't need real time performance.

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