When the 1000+ automated testing suite for the new matching engine passes without any failure.pic.twitter.com/h0qVyvdk1o
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Replying to @austerity_sucks
Yep. Most of them simulate trading scenarios (cascading liquidations, staggered stops, ...)
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Replying to @paoloardoino
but it's core trading engine or margining included (or is margining split into separate service w diff tests?)
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Replying to @austerity_sucks
Our matching engine integrates margin at the very core. It's critical that liquidations are handled as efficiently as possible. Also in this way you guarantee best integrity
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Replying to @paoloardoino @austerity_sucks
I know some exchanges prefer to use external workers to manage margin and liquidations. The issue there ends up being IPC and latency. Having core threads is extremely more efficient.
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Replying to @paoloardoino
so you're doing it all (matching, margining) on a single therad, no multithreading -- to prioritise integrity?
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Yes but sharded. IE. We use 45 threads to shard by user_id % 45. In this way we can scale with the user base but still keep the single user atomic
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