Evolution of Financial Exchange Architectures Martin Thompson - - - PowerPoint PPT Presentation

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evolution of financial exchange architectures

Evolution of Financial Exchange Architectures Martin Thompson - - - PowerPoint PPT Presentation

Nov 29, 2023 150 likes •680 views

Evolution of Financial Exchange Architectures Martin Thompson - @mjpt777 10 years ago Evolution Design Resilience Performance Deployment Design State Machines Input State State State Machines Input State State Input

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Evolution of Financial Exchange Architectures

Martin Thompson - @mjpt777

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10 years ago…

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Evolution

Design Resilience Performance Deployment

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Design

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Input × State → State

State Machines

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Input × State → State Input × State → Output

State Machines

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Ordered Inputs + Deterministic Execution => Same State & Outputs

Replicated State Machines

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Distributed Event Log

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Rich Domain Models (DDD)

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Rich Domain Models (DDD) Data Structures (CS)

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Time & Timers

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Fairness

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Clients

Matching Engine Matching Engine Gateway Gateway Gateway Gateway Gateway Gateway

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Clients

Matching Engine Matching Engine Gateway Gateway Gateway Matching Engine

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Clients

Matching Engine Matching Engine Gateway Gateway Gateway Matching Engine Gateway Gateway Gateway Gateway Gateway Gateway

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Clients

Matching Engine Matching Engine Gateway Gateway Gateway Matching Engine Gateway Gateway Gateway Gateway Gateway Gateway Matching Engine Matching Engine Matching Engine

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Migration by Asset Class OTC => Exchange Traded

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Resilience

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Fault Tolerance

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Primary + Secondary

vs

Consensus

Fault Tolerance

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Leslie Lamport - Paxos Barbara Liskov - Viewstamp Replication Ken Birman - Virtual Synchrony

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https://raft.github.io/raft.pdf

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Raft Safety Guarantees

Election Safety
Leader Append-Only
Log Matching
Leader Completeness
State Machine Safety

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Client Client Client Client Client Consensus Module Service Consensus Module Service Consensus Module Service

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Client Client Client Client Client Consensus Module Service Consensus Module Service Consensus Module Service

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Client Client Client Client Client Consensus Module Service Consensus Module Service Consensus Module Service

15 25 21 29 18 23 20 25 21 Append Position/Index

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Client Client Client Client Client Consensus Module Service Consensus Module Service Consensus Module Service

15 25 21 29 18 23 20 25 21 Commit Position/Index

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Client Client Client Client Client Consensus Module Service Consensus Module Service Consensus Module Service

15 25 21 29 18 23 20 25 21 Service Position/Index

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Client Client Client Client Client Consensus Module Service Consensus Module Service Consensus Module Service

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Boom!

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Client Client Client Client Client Consensus Module Service Consensus Module Service Consensus Module Service

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Importance of Code Quality & Model Fidelity

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Robustness

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How well does your application handle errors?

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Performance

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Latency distribution awakening

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Systemic & queueing events

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Garbage Collectors

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Memory Access Patterns & Data Structures

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Binary Codecs

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Spectre & Meltdown

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Greatly increased cost for system calls, page faults, and context switching

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Advances in Hardware

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New IO APIs

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Mechanical Sympathy

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Does programming language choice matter?

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Deployment

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Continuous Delivery

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24 * 7 Operations

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Flexible Scaling

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Wrapping up…

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What will the next 10 years hold?

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@mjpt777 https://github.com/real-logic/aeron

“The future is already here – it's just not evenly distributed”

William Gibson