3 ms·

How to Build an Exchange (2017) [video]

91 points by justinjlynn 5y ago

justinjlynn 5y ago
A pretty great tech talk by Brian Nigito of Jane Street [2017] - a quantitative trading firm which also provides an Electronic Trading Platform/Exchange - about how to take advantage of existing network technologies (multicast) and single-purpose, deterministic, application architectures to build a distributed, scalable, and reliable order entry, validation, and matching engine.
ijustwanttovote 5y ago
I'm always interested in this kind of stuff. thanks for sharing.
mirekrusin 5y ago
I miss updates from Jane Street, videos and podcast from Yaron. I must have watched/listened available ones 3-5 times by now.
bob1029 5y ago
Also potentially of interest to viewers of this video/thread: Evolution of Financial Exchange Architectures (2020) > https://www.youtube.com/watch?v=qDhTjE0XmkE https://www.youtube.com/watch?v=qDhTjE0XmkE
- justinjlynn 5y ago
  Thanks! That was excellent.
- ddls 5y ago
  This Martin Thompson talk is excellent. I've found time-stamping and handling GTD (good 'till date/time) orders consistently across nodes to be one of the most challenging bits of building an exchange infrastructure.
sizief 5y ago
Not only he knows it very well but also he explains it in a fast and clear way.
mattfrommars 5y ago
Great stuff, anyone know a repo where great content like this is aggregated?
ipnon 5y ago
Crypto exchanges seem to be universally helmed by market maker and high frequency trading veterans. See QZ at Binance (former HFT) and SBF at FTX (former Jane Street).
- wmf 5y ago
  Then there's the other half of exchanges that are based on PHP and MongoDB.
- smabie 5y ago
  And yet, as a market maker I think most crypto exchanges are pretty shit wrt reliability and correctness. This is actually a good thing though, as there are many places where a savvy operator can exploit quirks in exchange behavior.
mianos 5y ago
Good talk, aside from the anecdotes, which I don't believe. The design is exactly the same as we had in the late 90s. Still live in many of the major equity exchanges throughout the world.

91 points by justinjlynn 5y ago

A pretty great tech talk by Brian Nigito of Jane Street [2017] - a quantitative trading firm which also provides an Electronic Trading Platform/Exchange - about how to take advantage of existing network technologies (multicast) and single-purpose, deterministic, application architectures to build a distributed, scalable, and reliable order entry, validation, and matching engine.

ijustwanttovote 5y ago

I'm always interested in this kind of stuff. thanks for sharing.

mirekrusin 5y ago

I miss updates from Jane Street, videos and podcast from Yaron. I must have watched/listened available ones 3-5 times by now.

bob1029 5y ago

Also potentially of interest to viewers of this video/thread: Evolution of Financial Exchange Architectures (2020) > https://www.youtube.com/watch?v=qDhTjE0XmkE https://www.youtube.com/watch?v=qDhTjE0XmkE

justinjlynn 5y ago
Thanks! That was excellent.
ddls 5y ago
This Martin Thompson talk is excellent. I've found time-stamping and handling GTD (good 'till date/time) orders consistently across nodes to be one of the most challenging bits of building an exchange infrastructure.

sizief 5y ago

Not only he knows it very well but also he explains it in a fast and clear way.

mattfrommars 5y ago

Great stuff, anyone know a repo where great content like this is aggregated?

ipnon 5y ago

Crypto exchanges seem to be universally helmed by market maker and high frequency trading veterans. See QZ at Binance (former HFT) and SBF at FTX (former Jane Street).

wmf 5y ago
Then there's the other half of exchanges that are based on PHP and MongoDB.
smabie 5y ago
And yet, as a market maker I think most crypto exchanges are pretty shit wrt reliability and correctness. This is actually a good thing though, as there are many places where a savvy operator can exploit quirks in exchange behavior.

mianos 5y ago

Good talk, aside from the anecdotes, which I don't believe. The design is exactly the same as we had in the late 90s. Still live in many of the major equity exchanges throughout the world.