This Martin Thompson talk is excellent. I've found time-stamping and handling GTD (good 'till date/time) orders consistently across nodes to be one of the most challenging bits of building an exchange infrastructure.
A pretty great tech talk by Brian Nigito of Jane Street [2017] - a quantitative trading firm which also provides an Electronic Trading Platform/Exchange - about how to take advantage of existing network technologies (multicast) and single-purpose, deterministic, application architectures to build a distributed, scalable, and reliable order entry, validation, and matching engine.
Great stuff, anyone know a repo where great content like this is aggregated?
I miss updates from Jane Street, videos and podcast from Yaron. I must have watched/listened available ones 3-5 times by now.
Not only he knows it very well but also he explains it in a fast and clear way.
Good talk, aside from the anecdotes, which I don't believe. The design is exactly the same as we had in the late 90s. Still live in many of the major equity exchanges throughout the world.
Crypto exchanges seem to be universally helmed by market maker and high frequency trading veterans. See QZ at Binance (former HFT) and SBF at FTX (former Jane Street).
Then there's the other half of exchanges that are based on PHP and MongoDB.
And yet, as a market maker I think most crypto exchanges are pretty shit wrt reliability and correctness. This is actually a good thing though, as there are many places where a savvy operator can exploit quirks in exchange behavior.
I'm always interested in this kind of stuff. thanks for sharing.