Requirements

Functional Requirements:

We'll focus on the order placement + matching + streaming path:

• Allow traders to place buy and sell orders
• Stream live market data to traders.
• Match buy and sell orders based on price-time priority, where the best price gets priority, and among equal prices, earlier orders are matched first; confirm orders and provide trade execution reports.
• Send notifications for order status changes (filled, partially filled, cancelled), price alerts, and risk alerts, supporting real-time and periodic notifications.

9

Non-Functional Requirements:

• Buy&Sell events per day 10M to 100M (peak).
• Total Storage: 50M avg. 1Kb * 50_000_000 per day * 10 yrs = 500 TB
• Hot Storage: 50G per day
• RPS: 4_000_000 / 4000 = 1~5k RPS
• HA: 99.999% (stream, put order, check order, alert, push notification)
• Latency: Avg < 10 ms, P95 < 30 ms (put order, check order, alert, push)
• Latency: P95 < 100ms from in to out for stream
• Stream: only stream executed orders
• Support re-stream lost data by tick number range.
• Sync ops: put order, pre-order check
• Async ops: notify & alert, stream

API Design

• Register client for streaming (TCP). req: (client_ip, trader_id, market_id, etc.)
• Streaming (UDP) to registered clients. input: (client_ip, trader_id, market_id)

output: stream of [(tick_id, serial_no, asset_id, op_type, amt, market_id)]

• Put order: POST /order

Authentication: Bearer

body: market_id, asset_id (stock_id/etc.), op_type (buy/sell), amt

High-Level Design

Detailed Component Design

• Trader registers the clients and maintain a heart beat to update the client ip
• Post-Execute Service streams the executed result (success) to traders' client
• Post-Execute Service sends the alerts/notifications via email/sms if a rule-based alert is triggered, or an order fails to execute.
• Post-Execute Service communicates to the Payment Gateway to finalize the transaction
• Bid Service maintains a Heap data structure for each asset and buy/sell op in memory, total of ~50GB for in memory fast bid:

pseudo-code:

if order.isBuy():

buyheaps[asset_id].push(order)

else:

sellheaps[asset_id].push(order)

execute(buyheaps[asset_id].pop(), sellheaps[asset_id].pop())