Design and Implementation of a Scalable Financial Exchange in the Public Cloud
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arXiv
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| Auteurs principaux: | , , , , , , , |
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| Format: | Preprint |
| Publié: |
2024
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| _version_ | 1866913798852444160 |
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| author | Haseeb, Muhammad Geng, Jinkun Duclos-Cavalcanti, Daniel Butler, Ulysses Hao, Xiyu Mittal, Radhika Narayana, Srinivas Sivaraman, Anirudh |
| author_facet | Haseeb, Muhammad Geng, Jinkun Duclos-Cavalcanti, Daniel Butler, Ulysses Hao, Xiyu Mittal, Radhika Narayana, Srinivas Sivaraman, Anirudh |
| contents | Financial exchanges are migrating to the cloud, but the best-effort nature of the public cloud is at odds with the stringent latency requirements of exchanges. We present Jasper, a system for meeting the networking requirements of financial exchanges on the public cloud. Jasper uses an overlay tree to scalably multicast market data from an exchange to ~1000 participants with low latency (250 microseconds) and a 1-microsecond difference in data reception time between any two participants. Jasper reuses the same tree for scalable inbound communication (participants to exchange), augmenting it with order pacing and a new priority queue, Limit Order Queue (LOQ), to efficiently handle bursts of market orders. Jasper achieves better scalability and 50% lower latency than the AWS multicast service. During bursty market activity, LOQ nearly doubles the order processing rate. |
| format | Preprint |
| id |
arxiv_https___arxiv_org_abs_2402_09527 |
| institution | arXiv |
| publishDate | 2024 |
| record_format | arxiv |
| spellingShingle | Design and Implementation of a Scalable Financial Exchange in the Public Cloud Haseeb, Muhammad Geng, Jinkun Duclos-Cavalcanti, Daniel Butler, Ulysses Hao, Xiyu Mittal, Radhika Narayana, Srinivas Sivaraman, Anirudh Networking and Internet Architecture Financial exchanges are migrating to the cloud, but the best-effort nature of the public cloud is at odds with the stringent latency requirements of exchanges. We present Jasper, a system for meeting the networking requirements of financial exchanges on the public cloud. Jasper uses an overlay tree to scalably multicast market data from an exchange to ~1000 participants with low latency (250 microseconds) and a 1-microsecond difference in data reception time between any two participants. Jasper reuses the same tree for scalable inbound communication (participants to exchange), augmenting it with order pacing and a new priority queue, Limit Order Queue (LOQ), to efficiently handle bursts of market orders. Jasper achieves better scalability and 50% lower latency than the AWS multicast service. During bursty market activity, LOQ nearly doubles the order processing rate. |
| title | Design and Implementation of a Scalable Financial Exchange in the Public Cloud |
| topic | Networking and Internet Architecture |
| url | https://arxiv.org/abs/2402.09527 |