How does a modern stock exchange achieve microsecond latency? The principal is:

Do less on the critical path
- Fewer tasks on the critical path
- Less time on each task
- Fewer network hops
- Less disk usage

For the stock exchange, the critical path is:
- start: an order comes into the order manager
- mandatory risk checks
- the order gets matched and the execution is sent back
- end: the execution comes out of the order manager

Other non-critical tasks should be removed from the critical path. 

We put together a design as shown in the diagram:

- deploy all the components in a single giant server (no containers)

- use shared memory as an event bus to communicate among the components, no hard disk

- key components like Order Manager and Matching Engine are single-threaded on the critical path, and each pinned to a CPU so that there is no context switch and no locks

- the single-threaded application loop executes tasks one by one in sequence

- other components listen on the event bus and react accordingly

If you enjoyed those posts, you might like our system design interview books as well.

SDI-vol1: https://amzn.to/3tK0qQn

SDI-vol2: https://amzn.to/37ZisW9