The Making of an Ultra Low Latency Trading System with Go and Java

on YouTube ↗47m

" summary

An exchange-grade matching engine serializes each market as a deterministic state machine and achieves sub-50 microseconds E2E with matching times near 1 microsecond, 300,000 req/s peaks, and Aeron cluster + replicated RAFT logs for replay and debugging. Implementation details: Java with Azul Zolo Prime (warmup and pauseless GC), Aeron messaging, OpenOnload / dbdk kernel bypass, Intel Optane NVMe and cut‑through switches; it works on bare metal and can approach similar app latency on AWS only after careful AZ/spine placement, instance and NVMe choices, CPU pinning and scheduler tuning.

AI-written summary · about

" chapters (12)

1. 0:00Start
2. 4:05Orbital view of an Exchange
3. 11:51Replicated RAFT Log
4. 13:37Replicating For Scalability
5. 14:58Hardware Environment for CDE
6. 20:44Secrets with AWS Networks
7. 25:28Fast Memory Access
8. 27:09Java Challenges - Warmup
9. 28:21Java Challenges - Garbage Collection
10. 28:41Network Optimizations
11. 41:56Hint: Goroutine scheduler delay
12. 45:43Realization: Golang is optimized for throughput

" related talks

• 51mHigh Bandwidth Data & Low-latency JavaRyan Pratt, Justin Flude, Michael Vander Pluym · GOTO Chicago 2016
• 21mTime Synchronization using ML Techniques in Electronic TradingBishal M · Developer Summit 2020
• 13mLive in the Express LanePavel Chuprikov, Patrick Eugster, Pierre-Louis Roman, Patrick Jahnke, Vincent Riesop · USENIX ATC '21
• 50mHigh Performance Network Programming in RustAngelo Corsaro · Virtual IoT & Edge Days 2022
• 25mShenango: Achieving High CPU Efficiency for Latency-sensitive Datacenter WorkloadsJoshua Fried, Adam Belay, Amy Ousterhout, Hari Balakrishnan, Jonathan Behrens · NSDI 2019
• 15mAquila: A unified, low-latency fabric for datacenter networksDan Gibson, Arjun Singh, Amin Vahdat, Ming Tan, Hema Hariharan, Eric Lance, Moray McLaren, Behnam Montazeri, Stephen Wang, Zhehua Wu, Sunghwan Yoo, Raghuraman Balasubramanian, Prashant Chandra, Michael Cutforth, Peter Cuy, David Decotigny, Rakesh Gautam, Alex Iriza, Milo M. K. Martin, Rick Roy, Zuowei Shen, Ye Tang, Monica Wong-Chan, Joe Zbiciak, Hassan M. G. Wassel · 19th USENIX Symposium on Networked Systems Design and Implementation (NSDI '22)
• 15mMore Than Capacity: Performance-oriented Evolution of Pangu in AlibabaChao Han, Qiang Li, Qiao Xiang, Jiesheng Wu, Jiwu Shu, Jiaji Zhu, Yuanyuan Dong, Zhaosheng Zhu, Yaohui Wu, Shaozong Liu, Zhongjie Wu, Junping Wu, Zheng Cao, Jinbo Wu, Lulu Chen, Shuo Huang, Wenhui Yao, Shanyang Liu, Huayong Wang, Haonan Qiu, Derui Liu, Zhiwu Wu, Zicheng Luo, Yuchao Shao, Gexiao Tian, Yuxin Wang, Haohao Song, Ridi Wen, Shuqi Zhao · FAST '23: 21st USENIX Conference on File and Storage Technologies
• 15mNaos: Serialization-free RDMA networking in JavaTorsten Hoefler, Konstantin Taranov, Rodrigo Bruno, Gustavo Alonso · USENIX ATC '21