What interns wrought at Jane Street (2018)

blog.janestreet.com

52 points·max_··8 comments

TCP/IP Illustrated is such a good book! This post reminded me to re-read it.

I can see why they might write their own tcp networking library; remove all of the stuff you don't need from the protocol, make it tight enough to handle traffic from all of their other in-house systems, and they can customize it as needed to eek out more performance

though at that point, maybe it makes sense to write your own protocol on top of IP? on second thought, networking is hard; maybe it's easier to just implement TCP lol

I doubt they plan to just use it to talk in-house. At low latency trading shops almost all internal systems carrying market data or order entry flow avoid using IP/TCP. Everything will either be on a single box, with different processes pinned to different cores busy-spinning over IPC, or perhaps some kind of reliable UDP stream if a network hop is needed.

TCP is still used everywhere when it comes to talking to brokers and exchanges though. Even if you're jacked straight in to the NASDAQ with an FPGA you're still shooting TCP packets over the cross-connect.

Not to mention, I guess it's far easier to implement checkpoint/restore than the hoops libsoccr makes you jump through.

And also to put it on top of DPDK :-)

me and the bros squeezing out every microsecond in the zero sum gladiatorial arena

Table stakes in the high frequency arena is more like 100ns tick to trade.

Were you really though... ftxbro?

I'll fuckin do it again

Implementing tcp sounds like a lot of fun!

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