How to Build an Exchange - Jane Street

[wangwangwar]

https://www.youtube.com/watch?v=b1e4t2k2KJY

1. What is an exchange?

Electronic exchanges play an important role in the world financial system, acting as focal points where actors from across the world meet to trade with each other.

2. What are the requirements?

• Scale. 3 million transaction.
• Fairness. At the same time as much as possible.
• Reliability.
• Durability.
• Robustness to bad clients.

3. A crazy design, Why?

4. Need for speed

• Millions of transactions per-second system-wide.
• Everyone gets every message.
• One-in-flight => latency determines throughput. (Not really, I think)
• Recovery requires replay.
• Doable with commodity hardware and safe languages.
• More parallelism is possible.

5. Locking

• Every message has a unique topic
• And a per-topic sequence number
• Contributor tries to grab next seqno

6. Takeaways

• Speed isn't just for speed's sake
• State machine replication is a huge win
• Determinism great for other reasons
• Parallelism is possible, but centralization has benefits
• Crazy-looking designs can turn out well