Low Latency Stock Exchange

How does a modern stock exchange achieve microsecond latency? The principal is:

Do less on the critical path

• Fewer tasks on the critical path

• Less time on each task

• Fewer network hops

• Less disk usage

For the stock exchange, the critical path is:

• start: an order comes into the order manager

• mandatory risk checks

• the order gets matched and the execution is sent back

• end: the execution comes out of the order manager

Other non-critical tasks should be removed from the critical path.

We put together a design as shown in the diagram:

• deploy all the components in a single giant server (no containers)

• use shared memory as an event bus to communicate among the components, no hard disk

• key components like Order Manager and Matching Engine are single-threaded on the critical path, and each pinned to a CPU so that there is no context switch and no locks

• the single-threaded application loop executes tasks one by one in sequence

• other components listen on the event bus and react accordingly