Design and Implementation of a Scalable Financial Exchange in the Public Cloud
Muhammad Haseeb, Jinkun Geng, Daniel Duclos-Cavalcanti, Ulysses, Butler, Xiyu Hao, Radhika Mittal, Srinivas Narayana, Anirudh Sivaraman

TL;DR
Jasper is a scalable, low-latency system designed for financial exchanges on the public cloud, enabling efficient multicast of market data and order handling with improved scalability and latency performance.
Contribution
The paper introduces Jasper, a novel system that combines overlay multicast trees with order pacing and a new priority queue to meet strict latency and scalability needs of cloud-based financial exchanges.
Findings
Achieves 250 microseconds latency for multicast
Reduces latency by 50% compared to AWS multicast
Nearly doubles order processing rate during bursts
Abstract
Financial exchanges are migrating to the cloud, but the best-effort nature of the public cloud is at odds with the stringent latency requirements of exchanges. We present Jasper, a system for meeting the networking requirements of financial exchanges on the public cloud. Jasper uses an overlay tree to scalably multicast market data from an exchange to ~1000 participants with low latency (250 microseconds) and a 1-microsecond difference in data reception time between any two participants. Jasper reuses the same tree for scalable inbound communication (participants to exchange), augmenting it with order pacing and a new priority queue, Limit Order Queue (LOQ), to efficiently handle bursts of market orders. Jasper achieves better scalability and 50% lower latency than the AWS multicast service. During bursty market activity, LOQ nearly doubles the order processing rate.
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Taxonomy
TopicsPeer-to-Peer Network Technologies · Financial Markets and Investment Strategies · Distributed and Parallel Computing Systems
