Stock Exchange — Notes

Functional

• Limit / market / stop orders, IOC/FOK, hidden, iceberg.
• Price-time priority matching.
• Order amend / cancel.
• Market data feeds (L1/L2/L3).
• Clearing + settlement.
• Surveillance.

Non-functional

• Sub-millisecond engine latency.
• Determinism for replay.
• Audit + regulatory compliance.
• 99.999% during market hours.

Capacity

• NYSE peak ~10M msg/s.
• Per-symbol QPS depends on liquidity; HFT firms send 100k msgs/s for one ticker.

Schema

• orders(id, client_id, symbol, side, type, qty, price, ts, status)
• executions(id, order_id, qty, price, ts)
• Order book in-memory only; persisted via event log.

Trade-offs

• Single-threaded engine per symbol = deterministic + simple; cap is one core's throughput.
• Tail-latency obsession: pre-allocated memory, no GC pauses, kernel bypass NICs (DPDK / Solarflare).
• Replicate via event stream (not state) to keep replicas deterministic.

Refs

• LMAX architecture (high-performance trading) talks.
• NYSE Pillar paper; Nasdaq INET docs.
• "Trading at the speed of light" book.
• ByteByteGo "Design exchange / order book".