Design and Implementation of a Scalable Financial Exchange in the Public Cloud

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.