Ultra-fast market exchange core matching engine

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4 years ago

Ultra-fast market exchange core matching engine based on LMAX Disruptor, Eclipse Collections (ex. Goldman Sachs GS Collections) and Adaptive Radix Trees.

Designed for high scalability and pauseless 24/7 operation under high-load conditions and providing low-latency responses:

1M users having 3M accounts int total;
100K symbols (order books);
1M+ orders book operations per second;
less than 1ms worst wire-to-wire latency.

Single order book configuration is capable to process 5M operations per second on 10-years old hardware (Intel® Xeon® X5690) with moderate latency degradation:

rate50.0%90.0%95.0%99.0%99.9%99.99%worst125K0.6µs0.9µs1.0µs1.4µs4µs24µs41µs250K0.6µs0.9µs1.0µs1.4µs9µs27µs41µs500K0.6µs0.9µs1.0µs1.6µs14µs29µs42µs1M0.5µs0.9µs1.2µs4µs22µs31µs45µs2M0.5µs1.2µs3.9µs10µs30µs39µs60µs3M0.7µs3.6µs6.2µs15µs36µs45µs60µs4M1.0µs6.0µs9µs25µs45µs55µs70µs5M1.5µs9.5µs16µs42µs150µs170µs190µs6M5µs30µs45µs300µs500µs520µs540µs7M60µs1.3ms1.5ms1.8ms1.9ms1.9ms1.9ms

Benchmark configuration:

Single symbol order book.
3,000,000 inbound messages are distributed as follows: 9% GTC orders, 3% IOC orders, 6% cancel commands, 82% move commands. About 6% of all messages are triggering one or more trades.
1,000 active user accounts.
In average ~~1,000 limit orders are active, placed in~~ 750 different price slots.
Latency results are only for risk processing and orders matching. Other stuff like network interface latency, IPC, journaling is not included.
Test data is not bursty, meaning constant interval between commands (0.2~8µs depending on target throughput).
BBO prices are not changing significantly throughout the test. No avalanche orders.
No coordinated omission effect for latency benchmark. Any processing delay affects measurements for next following messages.
GC is triggered prior/after running every benchmark cycle (3,000,000 messages).
RHEL 7.5, network-latency tuned profile, dual X5690 6 cores 3.47GHz, one socket isolated and tickless, spectre/meltdown protection disabled.
Java version 8u192, newer Java 8 versions can have a performance bug

Main features

HFT optimized. Priority is a limit-order-move operation mean latency (currently ~~0.5µs). Cancel operation takes~~ 0.7µs, placing new order ~1.0µs;
In-memory working state for accounting data and order books.
Event-sourcing - disk journaling and journal replay support, state snapshots (serialization) and restore operations.
Lock-free and contention-free orders matching and risk control algorithms.
No floating-point arithmetic, no loss of significance is possible.
Matching engine and risk control operations are atomic and deterministic.
Pipelined multi-core processing (based on LMAX Disruptor): each CPU core is responsible for certain processing stage, user accounts shard, or symbol order books shard.
Two different risk processing modes (specified per symbol): direct-exchange and margin-trade.
Maker/taker fees (defined in quote currency units).
3 implementations of matching engine: reference simple implementation ("Naive"), small order books optimized ("Fast"), scalability optimized ("Direct").
Testing - unit-tests, integration tests, stress tests, integrity/consistency tests.
Low GC pressure, objects pooling, single ring-buffer.
Threads affinity (requires JNA).
User suspend/resume operation (reduces memory consumption).
Core reports API (user balances, open interest).