Paolo ArdoinoVerified account

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 …

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, ..)

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, ...

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

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.