Fun fact: lots of exchanges claim their matching engine can process huge numbers of orders per second. They're basically all lying.
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1/2 The lie is more subtle. You can easily create a matching engine that have that perf. 2 red-black tries + binary UDP I/O. The real lie is that most of exchanges can't handle writing, reconciling and distributing data at that speed: internal distribution, DB I/O, user delivery
2/2 Using a cloud provider and not a dedicated infrastructure affects the ability to reach higher speeds as well. AWS disks throughput has bursts, latency between hosts is not under your control, ... Owned racks, while more painful to manage, are better to get that kind of speed
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More painful but more secure.
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Indeed. We have cameras all around the racks. Locked room with pin etc. It really feels better. AWS is great for a start but try to have mongo or mysql writing at high speed. You'll want to hang yourself after few days
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Is this really a problem with nvme discs though? Their IOPS is batshit insane now. Even RAMdiscs, despite being volatile, can be realtime-streamed to a non-volatile mirror backup.
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I was always under the impression that this was more of a CPU multi-threading limitation more than anything else.
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