Designing a Low-Latency System on One Machine
Trading firms run two kinds of design round. Platform and research infrastructure teams ask the distributed kind, which the next lesson covers. The low-latency firms ask a different kind. The prompt is rarely a consumer product. It is closer to "take market data from four exchange feeds and deliver a consolidated book to our strategies with the lowest latency you can", or "design the publish and subscribe layer between those feeds and a hundred readers". The whole design fits on one machine, and the interviewer is testing whether you know where the microseconds go.
Put numbers on it first
Every design decision in this round follows from three numbers: how many messages arrive, how large they are, and how much time each one may take. Ask for them, or state an assumption and write it down.
The rest of this lesson is for subscribers
Unlock every lesson in Systems Programming for Trading, and every other premium course.
Subscribe to continueTest your knowledge
Keep reading Systems Programming for Trading
27 lessons in this course, and every other premium course, on one subscription.
- Every lesson in every course, with the worked examples and interactive simulators
- Graded questions on every lesson, with explanations for the wrong answers as well as the right one
- The trainers, timed assessments and brainteaser library that go with them