Conference:March 6-8, 2017
Workshops:March 9-10, 2017
Presentation: Low Latency Trading Architecture at LMAX Exchange
Location:
- Fleming, 3rd flr.
Duration
Day of week:
- Tuesday
Level:
- Intermediate
Persona:
- Architect
Key Takeaways
- Discover the architecture underlying a modern financial exchange
- Learn about high performance, asynchronous, event-sourced systems
- Understand some of the principles behind building low latency software
Abstract
Building a financial exchange like the one that LMAX Exchange operates presents a unique challenge. Our customers trade over $2 trillion a year through our platform, while demanding low and predictable latency with ever increasing volumes of transactions. In this talk we will present an overview of the architecture we use to deliver this, and share our experience of how taking a scientific approach to testing and tuning software has helped us to build a high-availability stateful system that regularly processes many tens of thousands of transactions per second in a single thread, with round-trip latencies through our systems measuring just 80 microseconds - all the while running on commodity Intel servers and written in plain old Java.
Interview
I'm the head of Software at LMAX Exchange. We're a fairly small team - about a dozen developers - so I'm very much hands-on and the work is quite varied. There's a broad mix of building new features into the platform, improving our performance and scalability and longer-term architectural improvements.
When a developer starts at LMAX, we take them aside and give them the 10,000 foot overview. This talk is based on that. I've always found it really interesting to learn how large systems are put together and the architecture behind them - the challenges faced and the approaches taken to solve them. Unfortunately our industry can be quite secretive about this - which holds us all back from learning from each other's experiences. At LMAX we've always been very open about what we do, so in this talk I'm aiming to show people how a modern high-performance financial exchange is built.
The talk is primarily targeted at hands-on technologists: developers, tech leads and architects.
The talk is at an intermediate level - I'll be giving a high level overview of our architecture and the principles behind it. It should be accessible to everyone but go into enough depth that more experienced practitioners will learn from it too.
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