This article both undersells and oversells the technical challenge exchanges solve.

First, it is of course possible to apply horizontal scaling through sharding. My order on Tesla doesn't affect your order on Apple, so it's possible to run each product on its own matching engine, its own set of gateways, etc. Most exchanges don't go this far: they might have one cluster for stocks starting A-E, etc. So they don't even exhaust the benefits available from horizontal scaling, partly because this would be expensive.

On the other hand, it's not just the sequencer that has to process all these events in strict order - which might make you think it's just a matter of returning a single increasing sequence number for every request. The matching engine which sits downstream of the sequencer also has to consume all the events and apply a much more complicated algorithm: the matching algorithm described in the article as "a pure function of the log".

Components outside of that can generally be scaled more easily: for example, a gateway cares only about activity on the orders it originally received.

The article is largely correct that separating the sequencer from the matching engine allows you to recover if the latter crashes. But this may only be a theoretical benefit. Replaying and reprocessing a day's worth of messages takes a substantial fraction of the day, because the system is already operating close to its capacity. And after it crashed, you still need to figure out which customers think they got their orders executed, and allow them to cancel outstanding orders.

▲

londons_explore 3 days ago | parent | next [-]

Once sequencing is done, the matching algorithm can run with some parallelism.

For example, Order A and order B might interact with eachother... but they also might not. If we assume they do not, we can have them processed totally independently and in parallel, and then only if we later determine they should have interacted with each other then we throw away the results and reprocess.

It is very similar to the way speculative execution happens in CPU's. Assume something then throw away the results if your assumption was wrong.

▲

noitpmeder 3 days ago | parent [-]

Off the cuff, id expect this leads to less improvement than you might think. The vast majority of orders, especially orders arriving in sequence close to one another, are likely on a small set of extremely liquid symbols, and usually all for prices at or near the top of the book for those symbols.

Happy to discuss more, might be off the mark... these optimizations are always very interesting in their theoretical vs actual perf impact.

▲

eep_social 3 days ago | parent [-]

in high scale stateless app services this approach is typically used to lower tail latency. two identical service instances will be sent the same request and whichever one returns faster “wins” which protects you from a bad instance or even one which happens to be heavily loaded.

	▲	noitpmeder 2 days ago \| parent \| next [-]
		I'm not sure I follow. In this instance we're talking about multiple backend matching engines... Correct? By definition they must be kept in sync, or at least have total omnipotent knowledge about the state of all other backend book states.
	▲	lanstin 2 days ago \| parent \| prev [-]
		And the tail latencies are wildly improved with each addition dup. Has to be idempotent of course.

▲

blibble 3 days ago | parent | prev [-]

> My order on Tesla doesn't affect your order on Apple

not necessarily

many exchanges allow orders into one instrument to match on another

(very, very common on derivatives exchanges)

	▲	dmurray 2 days ago \| parent \| next [-]
		Yes, I was going to note that this doesn't necessarily apply on derivatives exchanges. But a) I don't know of any exchange where this could be true for specifically Apple and Tesla, so the example is OK b) you can still get some level of isolation, even on commodities exchanges you can't typically affect the gold book with your crude oil order (the typical case is that your order to buy oil futures in 2027 matches against someone selling oil in 2026, plus someone selling a calendar spread) c) for exchanges that do offer this kind of functionality, one of the ways they deal with high volumes is by temporarily disabling this feature.
	▲	3 days ago \| parent \| prev \| next [-]
		[deleted]
	▲	halfmatthalfcat 3 days ago \| parent \| prev [-]
		The amount of multi-leg strategies is insane