arXiv:2402.09527cs.NI
Design and Implementation of a Scalable Financial Exchange in the Public Cloud
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Abstract
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.
Here is a research paper I recently wrote about a fair and scalable multicast in the cloud: https://arxiv.org/abs/2402.09527 I would love some feedback!
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