Design and Implementation of a Scalable Financial Exchange in the Public Cloud
<|reference_start|>Design and Implementation of a Scalable Financial Exchange in the Public Cloud: 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.<|reference_end|>
@article{haseeb2024design,
    title={Design and Implementation of a Scalable Financial Exchange in the Public
  Cloud},
    author={Muhammad Haseeb, Jinkun Geng, Ulysses Butler, Xiyu Hao, Daniel
  Duclos-Cavalcanti, Anirudh Sivaraman, Srinivas Narayana},
    journal={arXiv preprint arXiv:2402.09527},
    year={2024},
    archivePrefix={arXiv},
    eprint={2402.09527},
    primaryClass={cs.NI}
}