Stock Exchange
Match orders in milliseconds — a slow fill is a wrong fill.
Match orders in tens of milliseconds through a Fed-day frenzy while a matcher dies and the order log chokes.
Latency IS the product: an order that takes 100ms is an order filled at yesterday's price. Ordering is sacred — every fill flows through an append-only order log before settlement, so the log's throughput bounds the whole exchange. Market-data reads must never queue behind order flow.
Components in play
- Order gateway — Validates and routes orders and market-data requests in microseconds.
- Matching engines — Price-time priority matching per symbol shard — the hot path.
- Order log — Append-only, strictly-ordered log of every fill; settlement reads from here.
- Settlement — Clears fills off the log and books positions.
- Trade ledger — Durable record of every executed trade.
- Market-data cache — Serves ticker reads so they never queue behind order flow.
- Ticker store — Latest quotes and depth snapshots per symbol.
Graded on these SLOs
- ≥ 98.50%Orders execute
- ≤ 40 msOrder-to-fill p99
- ≥ 16k rpsSustain the tape
- ≤ 90%Hot-path headroom
- ≤ 13Lean floor
The brief
Design the matching core of an exchange: orders come in, get matched by strict price-time priority, and every fill flows through an append-only order log before settlement. Latency is the product — a 100ms fill is a fill at yesterday's price — and market-data reads must never queue behind order flow, even when a Fed headline sends every algo firing at once.
Functional
- Match orders by price-time priority per symbol
- Append every fill to a strictly-ordered log before settlement
- Serve market-data (ticker/quote) reads
Non-functional
- Order-to-fill p99 stays in the tens of milliseconds
- No fill ever loses its ordering, even under a demand spike
- Market-data reads never queue behind order flow
Warm-up: design decisions
Optional theory to prime the calls a senior engineer would make before you build.
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