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paoloardoino's profile
Paolo Ardoino
Paolo Ardoino
Paolo Ardoino
Verified account
@paoloardoino

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Paolo ArdoinoVerified account

@paoloardoino

CTO @bitfinex + CTO @tether_to [Views are my own]

London
github.com/prdn
Joined January 2010

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    1. Paolo Ardoino‏Verified account @paoloardoino 15 Mar 2020

      Paolo Ardoino Retweeted Paolo Ardoino

      1/7 Problem: How to scale trading/liquidation engines up to 500k/1M/10M users? 100k users are manageable, but eventually single threaded architecture will bottleneck growing number of users.https://twitter.com/paoloardoino/status/1238965074427088903 …

      Paolo Ardoino added,

      Paolo ArdoinoVerified account @paoloardoino
      Sharding users among multiple threads in the matching engine allows running concurrent liquidation engines, one per shard. Can't scale unless you go parallel. #bitfinex
      11 replies 14 retweets 90 likes
      Show this thread
    2. Paolo Ardoino‏Verified account @paoloardoino 15 Mar 2020

      2/7 * The order book (OB) for each pair is run on a single thread, with its own I/O queues. * User data UD is deterministically sharded among different threads * Liquidation engine (LE) is a set of threads with direct mem access to user data threads (positions, balances, ..)

      1 reply 0 retweets 6 likes
      Show this thread
    3. Paolo Ardoino‏Verified account @paoloardoino 15 Mar 2020

      3/7 * LE interacts with OB via in-mem priority queue. * LE adds to a liquidation-order (LEO) enough meta-info for the order book thread to evaluate if liquidation should still happen, bankruptcy price, ...

      1 reply 0 retweets 4 likes
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    4. Paolo Ardoino‏Verified account @paoloardoino 15 Mar 2020

      4/7 * Each LE sorts users by risk (probability of getting liquidated). * Improvement: a single shared sorted map can be generated across the threads

      5 replies 0 retweets 5 likes
      Show this thread
    5. Omid‏ @omidaladini 15 Mar 2020
      Replying to @paoloardoino

      Re improvement: perhaps an rbtree ordered by an f() that provides the same ordering but price-independent (so no need to re-sort on each tick as probabilities shift), 1 for longs, 1 for shorts. There is always a "first to be liquidated" position per side independent of price.

      1 reply 0 retweets 0 likes
      Paolo Ardoino‏Verified account @paoloardoino 15 Mar 2020
      Replying to @omidaladini

      Yup, we are using RBTrees internally. Both for our books and for liquidation priority.

      6:19 AM - 15 Mar 2020
      1 reply 0 retweets 0 likes
        1. New conversation
        2. Omid‏ @omidaladini 15 Mar 2020
          Replying to @paoloardoino

          there is also lock-free concurrent rbtree designed in publications but no production ready implementations so far :-/

          1 reply 0 retweets 0 likes
        3. Paolo Ardoino‏Verified account @paoloardoino 15 Mar 2020
          Replying to @omidaladini

          True. Our design isolates pairs in separate threads, so you don't have to worry of cross-thread locking on RBTrees. You really want base data structures as fast as possible.

          1 reply 0 retweets 1 like
        4. Show replies

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