Electronic Stock Exchange & Matching Engine

1,000,000 Orders/sec Peak

Sustained peak request volume during high-traffic events.

100,000 Market Participants

Daily active users generating read and write operations.

5 TB/day binary audit tick logs

Projected data ingestion and replication storage capacity.

Order match execution p99 < 15 microseconds

Strict end-to-end percentile latency SLA constraint.

Core System Capabilities

• Accept New Order, Cancel Order, and Modify Order requests via FIX and binary protocols.
• Maintain deterministic price-time priority limit order books for all listed symbols.
• Execute trades when buy prices cross sell prices; generate trade execution reports.
• Publish Level 1, Level 2 (depth of book), and Level 3 market data feeds in real time.

Reliability & Latency SLAs

• Deterministic execution: identical input sequence must produce bit-for-bit identical trade results.
• Microsecond latency (p99 < 15 microseconds) with zero garbage-collection pauses.
• Strict fault tolerance: primary matching engine failure fails over without lost transactions.

Network Interface Cards (Direct userspace networking / Solarflare EF_VI) · FIX Protocol Parser · Pre-Trade Risk Gateway

Terminate 10GbE fiber connections, parse binary payloads in <2 microseconds, verify margin capital, and assign sequence numbers.

Hardware Sequencer · In-Memory Replicated Journal (Raft / 2PC) · Disruptor Ring Buffer

Assign strict monotonically increasing sequence numbers and persist to non-volatile RAM (NVRAM) before match execution.

Single-Threaded Match Core (C++ / Rust) · Price-Time Order Book (Doubly Linked Lists + B-Tree) · Memory Arena Allocator

Execute price-time matching in memory with zero allocations, zero locks, and deterministic single-threaded speed.

ITCH/OUCH Feed Generator · UDP Multicast Transmitters · Tick Recorder

Broadcast trade executions and order book top-of-book updates simultaneously to all colocation market participants.

PK: order_id

• order_id (UINT64 PK)
• symbol_id (UINT32)
• side (BUY/SELL)
• price_ticks (UINT64)
• quantity (UINT32)
• timestamp_ns (UINT64)

In-memory cache-line aligned C++ struct; price levels indexed via custom B-Tree with intrusive doubly linked list queues.

PK: match_id

• match_id (UINT64 PK)
• buy_order_id (UINT64)
• sell_order_id (UINT64)
• symbol_id (UINT32)
• execution_price (UINT64)
• matched_shares (UINT32)
• timestamp_ns (UINT64)

Appended directly to sequential NVMe binary journals for regulatory trade reporting.

PK: account_id

• account_id (UINT32 PK)
• cash_balance_cents (UINT64)
• collateral_shares (UINT32)
• max_leverage_ratio (FLOAT)

Locked in L3 CPU cache for ultra-fast pre-trade credit checks before forwarding to matching engine.

Concurrency: Multi-Threaded Partitioned Engine vs Single-Threaded Core per Symbol

Rationale: Lock contention and CPU cache-line bouncing degrade performance by 10x in multi-threaded engines. Pinning a single thread to a designated CPU core eliminates locks and delivers deterministic sub-microsecond matching.

Network Transport: TCP vs UDP Multicast for Market Data

Rationale: TCP introduces unequal latency jitter: the server sends packets sequentially to connection 1 before connection 100. UDP Multicast puts packets onto the network switch simultaneously, ensuring deterministic market access.

Distributed Rate Limiter & Token Bucket

Protect multi-region microservices from traffic spikes, brute-force attacks, and noisy neighbors.

Distributed In-Memory Cache with Consistent Hashing

Build a fault-tolerant, low-latency in-memory cache supporting LRU eviction and Raft replication.

Idempotent Payment Processing & Ledger Engine

Design a mission-critical Stripe / FinTech payment engine with exactly-once settlement and audit ledgers.