Low latency and high frequency message processing
Low latency and high frequency message processing
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A retail financial trading platform needs very low latency trade processing - trades have to be processed quickly (20,000+ trades/sec) because the market is moving rapidly. A retail platform adds complexity because it has to do this for lots of people. So the result is more users, with lots of trades, all of which need to be processed quickly.
Given the shift to multi-core thinking, this kind of demanding performance would naturally suggest an explicitly concurrent programming model. A simple design could be to have multiple threads read messages from a queue, process it and update the database. This requires extensive application and database tuning. Unfortunately, due to context switching, neither desired throughput nor ordered processing can be achieved.
What if the desired throughput (10-100k / sec) can be achieved without writing difficult to debug concurrent code and performing expensive IO?
Alternative is to perform in-memory processing and this is what we explore here.
Event Sourcing is valuable because it allows the processor to run entirely in-memory, but it has another considerable advantage for diagnostics. If some unexpected behavior occurs, the sequence of events can be copied to development environment and replayed.
The design discussed here can easily be extended to online gaming, credit card processing or serving banner advertisements by Ad servers. An important point to note here is that for trade processing is strictly ordered (not globally) but not necessary for other use cases.
vertx.io is an interesting project employing single-thread model for asynchronous processing.
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