Event input queue, fully deterministic matching engine, and an output queue. Plus importantly, a sequencer to guarantee that the events going into the input queue have a known order.
Aspects of their architecture and design decisions have been made public through their podcast series, Signals and Threads.[0]
> copied a lot in the industry because they work well for the problem space
Finance as an industry could be described as ... incestuous. The people move around within the small circle of firms, so any architectural knowledge gets cross-pollinated quite rapidly. From what I understand, the disruptor pattern itself was reasonably well known in the academic circles well before LMAX wrote about it - but I'm not sure anyone had put publicly available numbers on a heavily optimised version before them. (FWIW, I use a simplified disruptor in one of my own projects because it works well and simplifies the overall design. )
We should also be honest about the technical challenges: there are very few as interesting problem spaces as an exchange or a low-latency MM.
The heritage of Martin and Dave was video games rather than finance and they had the most input into it.
From a friend who worked in games, the general idea behind the disruptor had been in use in games for a while.
I wouldn't be surprised if there was some cross pollination. I regularly read game dev blogs for ideas and information. While trading tends to have higher latency requirements and stronger networking requireemnts, games have other issues (the PCI bus and graphics card), but in the end there are a lot of architectural similarities and both tend to be a small group of highly skilled developers so you have a lot more freedom to chose complex index and advanced tooling.
Thanks!
(aiming to help non-native English readers, vs nitpicking-pedantry)
The multicast ring every machine multicasts their packets, and if a machine wants that data it just subscribes to that channel. So the logger might subscribe to every channel, the price feeds will send to a specific group of channels, the order routing systems will listen on a particular channel, and core might subscribe to the strategy channels, and the strategies will subscribe to the price feeds and core and send to the order channels.
This allows you to have hundreds of machines without any slowdown, and you can literally just drop a new machine on the right and it just works. No need to change anything else. It highly decouples the systems. You just need to have a very tight protocol and extremely well written network code (these are always custom implementations - I've written custom SSL/TLS, websocket, webservers, TCP itself, etc. for these things.
This also allows close to perfect replayability. The machine logging logs everything, and then when you want to analyze something, you generally have tools to replace the message back into the ring and get the exact same state.
And all these active machines also have backs up, so you have two machines taking orders and routing them for a venue: one is the currently active and doing all the work and heartbeating, but there is another that is just reading all the messages keeping the same state as the primary, but when the primary goes down, the secondary can seemlessly pick up and none of the other machines need to even know what happened. It makes for a very resiliant system.
Plus you can use any language you want. We wrote all the trading systems in C++, but we also had nodes on the ring in python, java, and even shell scripts listing for particular messages. I remember one hack I did when the futures market keeping hitting its limit down a couple days in a row, so we made a shell script that listened for a particular limit down message from the price feel to be broadcast into the ring, and when it got it, it send another message to each algo telling them to get out of anything and pause. took less than a day to write using bash.
Its a really nice way to handle event systems, just it is sometimes difficult to get others to understand the benefits and it requires a lot of implementation skill and experience.