Markets

Matching orders in microseconds: the exchange’s limit order book, the deterministic sequencer that lets a crashed engine replay its exact fills, and the single-box latency discipline that trades scale-out for a tail measured in nanoseconds.

Explainers

• Design a Trading Dashboard — A million people watching prices that move millions of times a second, and a browser that can render maybe ten of them. Built from zero: the read-side scope (the display, not the matching engine), a commit-first envelope where naively forwarding every tick is ≈240 GB/s and conflation cuts it to ≈4.8, market-data fan-in and normalization across venues, then the signature idea — conflation, keeping one latest slot per symbol and emitting ~4 times a second (exactly what Interactive Brokers ships), pub/sub fan-out over a WebSocket gateway fleet, snapshot-then-delta on subscribe with sequence-gap resync, per-client backpressure that conflates again at the socket, tiered update rates that follow attention, OHLC candle roll-ups computed on the full tick stream, portfolio P&L as the live price joined onto positions, and the two-lane guarantee split — lossy display, exact books — that runs through the whole design.
• Design a Matching Engine — A stock exchange makes four promises at once — fairness, determinism, microsecond latency, and never losing an order — and one data structure keeps all four. Built from zero: what an exchange must guarantee, the order book as sorted price levels each holding a doubly-linked FIFO plus an id-map (place, match, and cancel all O(1), and the singly-linked trap that ruins it), a live book where you fire a market buy and watch it sweep the ask side with honest fills, the sequencer that stamps every order so the same input always replays the same fills, the single-box mmap event bus that beats the network by three orders of magnitude, hot-warm failover, and the p99 tail that a garbage-collection pause quietly ruins.