Applying Web Service and Windows Clustering for High Volume Risk

Analysis

Sivadon Chaisiri, Juta Pichitlamken, Putchong Uthayopas, Thanapol Rojanapanpat, Suphachan

Phakhawirotkul, and Theewara Vorakosit
High Performance Computing and Networking Center, Faculty of Engineering, Kasetsart
University, 50 Phaholyothin Road, Bangkok 10900, Thailand
{g4665304, juta.p, pu, g4765402, g4565065, g4685034}@ku.ac.th

Abstract maybe temporarily unavailable when there are too

We present the development of a distributed system
to calculate the Value at Risk (VaR) measure when a
large number of users are presented. A scalable
architecture based on Windows clustering and web
services is proposed. In addition, we develop a load
balancing algorithm to distribute the workload among
the compute nodes in the Windows cluster. The
experimental results show that our system can
substantially speed up the VaR calculation. In
addition, it offers a good scalability. This work
provides an example of how to deploy a standard web
service and Windows clustering technology to offer a
cost-effective and scalable solution for demanding
financial applications in practice.
1. Introduction
Many commercial organizations routinely perform
computing-intensive calculations. For example, credit
card companies employ data-mining techniques to
detect credit card frauds. Commercial banks need to
compute value-at-risk measures to comply with the
Basel Capital II Accord. These calculations generally
require a large amount of historical data and thus high
computing power to analyze them. Deployment of
such applications on a centralized server is one way to
get the results, but it also has some drawbacks.
In an actual commercial information system,
software is usually implemented as a server-side
application that follows some logics, manipulates some
data and is hosted in only one centralized server.
There may be many users and other applications
requesting the services that this server provides. If the
applications consume lots of computing power, the
overall performance of the server will be degraded and
many requests. This limitation depends on many
factors, such as server’s specifications (e.g., capability
of processors and amount of available memory) and
other runtime software infrastructure (e.g., operating
system, application server software and database
software). In addition, using one centralized server
poses a risk of a single point of failure; when the server
fails, the whole system will be down too.
To get more computing power, one can buy a new
high-end server. However, the single point of failure
problem still exists, and the total cost of ownership
(TCO) also increases: not only the price of purchasing
a new server but also the cost of upgrading,
maintenance, service, and repair.
Another high performance computing (HPC)
solution is clustering. A cluster is a group of
computers connected via a high speed network.
Computers inside the cluster share resources such as
storage, data, software, and computing power. When
an application is running on a cluster, it can harness the
shared computing resources that act as a unified pool.
An application can utilize this resources pool to obtain
much faster speedup than possible on a single server.
Furthermore, we can build a cluster which connects
commodity personal computers that are much less
expensive than a high-end server. In addition, the
single point of failure problem is avoided because
many computers inside the cluster can provide the
same functionality; in the case that one computer fails,
there are still others that are able to handle functions.
In this paper, our cluster is built on the Microsoft
Windows platform, which we choose because the
operating system is robust and very easy to configure.
The application that we test in this work is a real-world
application developed for the Thai Bond Dealing
Centre (ThaiBDC. See www.thaibdc.or.th). The
application calculates the Value-at-Risk (VaR) for a
portfolio of stocks traded in the Stock Exchange of
Thailand. VaR is an estimate, with a user-defined
degree of confidence, of how much one can loose from
one’s portfolio over a given time horizon [1]. It aims
at making a statement of the form “We are c percent
certain not to loose more than V dollars in the next m
days.” ThaiBDC has already provided the VaR
calculation service commercially but using different
platforms. Thus, this application will be used
concurrently by a large number of users. Moreover,
each request generally requires a lot of computing
power because the calculation involves manipulation
of large two-dimensional matrices.
To achieve the cluster environment, we implement
the VaR application as a web service which is
deployed on every computer inside the cluster. This
means that the cluster is able to handle many incoming
requests simultaneously. In addition to the application,
we also need a load-balancing mechanism to distribute
users’ requests to the computers inside the cluster.
We propose architecture for a cluster with a load
balancer that is designed to handle a large amount of
requests. From the experiment, our cluster and
software can maintain a good response time while the
number of request increases. We expect that our
proposed architecture can be efficiently applied for
other business applications as well.
This paper is organized as follows: Section 2 details
related works. We describe our design in Section 3.
The experimental results are in Section 4, and we
conclude in Section 5.
2. Related work
Currently, most applications are generally designed
to run on a single processor. This is usually termed
sequential programming. To efficiently utilize the
computing resources shared in a cluster, applications
must be implemented using parallel programming
technique, where the processing is distributed on
multiple processors in the cluster. Additionally, the
processors can communicate with each other and
exchange some data. Widely used tools for building a
parallel programming application are Application
Programming Interfaces (APIs), such as Message
Passing Interface (MPI) [2][3] and Parallel Virtual
Machine (PVM) [4]. A major drawback of
parallel/distributed programming is that it takes more
time and effort to design and implement applications
than sequential programming. However, modern
development frameworks (e.g., J2EE [5] and .NET
framework [6]) are appealing because they provide
many tools and APIs that supports business application
implementations. By applying such a framework for
parallel program development, a programmer can
develop business application that is able to utilize the
parallel programming power much faster than before.
When we build a cluster for parallel programming,
we generally choose a single operating system that
provides the runtime infrastructure for resource sharing
and communication. Although it is possible to build a
cluster with heterogeneous operating systems, having
only one type of operating system will be much
simpler to maintain. Two types of operating system
are widely used for clustering:
1) Linux cluster: This type of cluster is based on
commodity hardware, open-source software and Linux.
This type of cluster is also widely known as Beowulf
Cluster [7]. NPACI Rocks and OSCAR [8] are
samples of software for building Linux clusters. The
main advantage of this type of cluster is the highly
configurable architecture, high scalability, and low
software licensing cost. However, a skill in using
Linux operating system is also required for
maintaining a cluster. Hence, this type of cluster is
used mostly in technical and academic environment
where the required skill and manpower are available
cheaply.
2) Windows Cluster: Microsoft Corporation
provides a cluster solution via the Microsoft Windows
operating system. Many pioneer works has been done
by researchers from Cornell Theory Center (CTC)
regarding how to build and use large scale Windows
cluster [9]. Although building a Windows cluster
means users have to pay for some software cost, it may
be more suitable for commercial environment for a
number of reasons: First, many companies have
already had a lot of Windows-based expertise in-house.
Second, building and maintaining a Windows cluster is
easier than a Linux one, with a rich set of GUI based
tools. Third, there are a rich set of robust and standard
tools (such as Java Development Kit and Microsoft
Visual Studio) that can be used to enable programmers
to quickly develop an application under this
environment. Finally, all the standard technology (e.g.,
web services and Java) is very robust as it has been
tested for years in mission-critical commercial
environment.
Currently, there is a rapidly increasing need for
organizations to exchange information among each
other. This so-called business to business (B2B)
communication allows much faster and highly
automatic flow of information to speed up processing
in application, e.g., package tracking and customer
relationship management (CRM). Hence, there is a
need for a standard technology that allows applications
to communicate with each others over Internet
regardless of the platform differences. Web service
(WS) [10] is a highly standard technology invented by
W3C for this purpose. There are a series of standards
cover web service technology including area such as
naming, WS description language, WS messaging, WS
security. The advantage of web service is that it is a
well support standard with a rich set of development
tool and environment. In this work, web service is a
key technology being applied to provide a
parallel/distributed execution of VaR calculation.
Although web service can be utilized as a common
communication infrastructure, parallel execution of the
application still requires a mechanism to distribute
application execution to each compute node inside the
cluster. The balancing of the execution load among
compute nodes is one of the determining factors of the Figure 1. Scalable VaR calculation process
system overall performance. For example, a poor load
In the VaR calculation tool, users input the portfolio
balancing algorithm may cause some computers to bear
information: his portfolio detail, the holding period,
a large amount of loads while other computers may
and confidence level, through a user interface module.
take up small loads or be idle. Load balancing is a
In this work, there are two user interface modules: One
field of active research. The random balancing and
is a web application developed using ASP.NET, and
round robin balancing algorithms are some examples
the other is an Excel worksheet that connects to VaR
of well-known and widely-used methods.
calculation system using web service. After this
The random balancing algorithm randomly chooses
information becomes available, the VaR calculation
a computer to handle a new incoming load. The appeal
starts. The algorithms used for VaR calculation is
of this algorithm is in its simplicity and efficiency on a
Single-Factor Capital Asset Pricing Model (CAPM)
large cluster. However, it generally performs poorly on
(cf. [11]). During the VaR calculation, the past
a small cluster and a seriously load unbalanced can be
historical data from the Stock Exchange of Thailand
caused by a bad randomization algorithms. The round
(SET) such as daily SET index, closing prices are
robin algorithm has a strategy to prevent starvation: a
needed. This data is available in a local database kept
situation in which some computers are idle for a long
at ThaiBDC sites. The updated version of the data is
time. This algorithm has a circular queue of
transfer daily from SET to ThaiBDC.
computers. The incoming loads will be distributed to
those computers sequentially and circularly. Although
the round-robin algorithm is efficient, but it may cause
3.2. System architecture
some computers to consume too much loads when the
The architecture of our system is depicted in Figure
cluster consists of processors with different speed.
2. The system consists of 3 components: a front-end
Hence, we use an algorithm that can distribute the
node, a compute node, and a client node.
incoming load by distributing it to a computer that has
Front-end node: A front-end node performs many
the least load. We will describe our algorithm in more
functions. First, it acts as a security and access control
detail in the next section.
for the cluster. Second, it acts as a web portal and web
server for web based applications that use the cluster.
3. Design and implementation Finally, front-end node also acts as a load balancer for
the VaR application. The load balancer is a service
3.1. Risk analysis process that balances the incoming requests to compute nodes.
The process used in this work for the VaR
calculation is as shown in Figure 1. Compute Node
 Switch
Front End Node
Client
Node
Figure 2. System configuration
Compute node: Compute node is a collection of PCs
that contributes computing resources to a cluster.
There must be an application component or a function
running on each compute node and perform a part of
computation required by the application. In this work,
the function that runs on each compute node is
implemented as a web service. In addition, a resource
is only available through the implemented web service.
Implementing web services is convenient with modern
development tools such as Microsoft Visual
Studio.NET and J2EE.
Client node: Computers located outside a cluster are
called client node. Client node functioned as a user
interface for the application.
3.3. Software architecture
Figure 3 shows the scalable VaR calculation process.
Each number indicates the step for handling an
incoming request.
1) The client node requests a URL of web service
located on the compute nodes from the load balancer
running on the front-end node.
2) The load balancer runs the load balancing
algorithm and returns the URL of the chosen compute
node to requested client node.
3) The client node uses the returned URL to connect
and invoke web service on compute node.
4) The compute node executes the service using
inputs from the incoming request. The result of
computing is returned to client node.
5) The result of computing is returned to a client
node.
Figure 3. Sequence diagram for scalable VaR
calculation
The application is implemented as web service on
compute nodes. The load balancer is responsible for
distributing the incoming requests to the deployed web
services. In the next section, we explain our load
balancing algorithm.
3.4. Load balancing algorithm
Load balancing algorithm used is called Least
Weighted-Workload First Algorithm. This algorithm
works as follow: First, there are many different VaR
calculation functions being supported in the system.
For each VaR calculation function i, a weight value Wi
is assigned to that function. Hence, the weight of each
function will be assigned according to the increasing
order of its execution time. The fastest function will be
assigned the weight value of 1 and the next fastest
function will be assigned the weight of 2, and so on.
Therefore, the value of Wi can be found by simply
running the function and measure its execution time.
Once the weight of each function is being assigned, it
will be kept in a static table for future use.
Load balancer also keeps track of workload on each
machine. The tracking of machine workload relies on
a machine workload table (see Figure 4). This table is a
priority queue that consists of two fields. The first
field is the URL for web service on each compute
node, and the second field is the workload already
assigned to that node.
 their usual computing environment and tool such as
Microsoft Excel.

Figure 4. Machine workload table

Using these two data structures, the load assignment

is very simple. When a request for VaR calculation
arrives, a load balancer can immediately choose the
node at the top of machine workload table to assign the
task to. The reason is that this node always has the
least execution load on it since the table is kept using
built-in priority queue function. After the selection,
the workload of that node will be adjusted by adding
the pre-assigned weight of the function chosen by user
to the workload. Once this has been done, machine
workload table is updated automatically and the URL
of the web service chosen will be passed back to client
node.
When the execution on a compute node finishes, a
web service function will notify load balancer about
the termination of the function. At this point, the load
balancer will update machine workload list by
Figure 5. Web based user interface
subtracting the weight of finished function from
machine workload. Hence, the load balancer selects
Another user-interface is through Microsoft Excel.
the next compute node based on the most updated
Microsoft Office 2003 supports a web service
information. In this work the notification from web
invocation inside Office application (see Figure 6). We
service to load balancer is done using a separate web
use “Microsoft Visual Studio Tools for Microsoft
service component on the load balance machine. The
Office System 2003” to link Excel application to this
problem may arise when both the load balancing and
VaR computation platform. Users can load the data
notification web services are trying to access the
into Excel worksheet that we provide, connect their
machine workload table at the same time. We solve
computer to internet and perform the computation on
this problem by locking machine workload table using
our system.
.NET application locking mechanism.

3.5. User interface choice

To simplify user experience for this software, the

front end of the system that a user encounters must be
simple. We offer two design alternatives. First, we
build the VaR calculation as a web based application
using ASP.NET running under web server on fronted
machine. A user can interact with the software and
system using a standard web browser and a web form
interface (see Figure 5). A drawback of this approach
is that users have to move data back and forth from
 requests. The experiments were repeated for three
times and the average value is presented in Table 1.
The speedup and efficiency of the computation are also
calculated and presented in Table 2 and Table 3
respectively. The plot of speedup and efficiency is
plotted in Figure 7 and Figure 8.

Table 1. Processing time used to process the

requests for 1, 2, 4, and 8 nodes system.

No. of Number of Compute Nodes

request 1 2 4 8
10 59.93 43.21 22.10 16.03
50 295.79 205.50 101.45 62.42
100 538.04 409.51 208.86 120.49
500 2669.70 2030.44 1037.47 567.00
1000 5326.22 4056.75 2071.00 1113.39

Table 2. Speed up computed from Table 1.

No. of Number of Compute Nodes

request 1 2 4 8
10 1.00 1.39 2.71 3.74
Figure 6. Excel-based user interface
50 1.00 1.44 2.92 4.74
4. Experiments 100 1.00 1.31 2.58 4.47
500 1.00 1.31 2.57 4.71
4.1. Experimental configuration 1000 1.00 1.31 2.57 4.78

The test system has one front-end node using Table 3. Efficiency of the processing
Pentium IV 3.0 GHz (with HyperThreading), 512 MB computed from Table 2.
RAM, and 120 GB hard disk. There are 8 compute
nodes in the system. For the compute nodes, Pentium No. of Number of Compute Nodes
III 750 MHz, with 128 MB RAM and 40 GB Disk are request 1 2 4 8
used. Both front-end and compute node use Windows 10 1.00 0.69 0.68 0.47
Server 2003 as an operating system. For the test client,
50 1.00 0.72 0.73 0.59
PC with AthlonXP 1600+ (1.4 GHz) processor, 256
MB RAM, and 40 GB hard disk running Windows XP 100 1.00 0.66 0.64 0.56
Professional is used. All machines are connected 500 1.00 0.66 0.64 0.59
through Fast Ethernet switch. 1000 1.00 0.66 0.64 0.60
In the test problem, we consider all stocks that are
currently listed in the Stock Exchange of Thailand (405 From the experimental results it can be seen that in
equities), and we use the actual historical prices from term of performance, our system can deliver a very
January 2, 2002 to December 30, 2003. good performance. Using 8 nodes, the total calculation
time has been reduced by 4.8 times. For a fixed
4.2. Results and discussion workload, speedup of the system increases with the
number of compute nodes. This happens because the
We test our system by using a simulated client work is distributed throughout the system. However,
program to send multiple simultaneous requests to the this speedup increases eventually levels off due to the
scalable VaR calculation system. We record the time high overhead inherent to the system. If more
spent to finish 10, 50, 100, 500, and 1000 simultaneous machines are available for testing, we may able to
determine this limit.
We also see that when the number of compute nodes
is fixed, speedup tends to increase as the workload
increases. However, this might not be obvious for a
small number of nodes (such as 2 nodes) and small
number of requests (such as 10, 50, and 100) because
the startup and fixed cost overhead is high.
In addition, when we consider the system’s
efficiency (defined as the speedup divided by number
of compute node), the efficiency of the system tends to
increase when the number of node increases with the
workload (see Table 1). Thus, the system can scale up
well and function more efficiently with more
workload. This is an appealing characteristic for a
high-throughput application.
Speedup Ratio by Num ber of Processor
6.00
5.00 10
50
4.00 100
Speedup Ratio
common Windows based platform), enable us to build
a scalable system for demanding needs. During the
course of the development, we found that Windows
cluster development is simple since the program
development tool such as visual studio and C#
language is powerful. Moreover, we think that web
service is a well developed and robust technology,
which provides a good reason for adopting Windows
cluster technology for business applications.
The proposed architecture, although initially
designed to work with Microsoft Windows platform,
can be applied to other cluster platforms and
technology, e.g., NPACI Rocks cluster, and Beowulf
Cluster.
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