Design low-latency trading infrastructure

Q: Design low-latency trading infrastructure

This question evaluates understanding of low-latency trading system architecture, networking and protocol trade-offs (TCP/IP vs UDP), time synchronization, fault tolerance, observability, and operational safety when splitting functionality between a colocated box and remote offices, within the System Design domain.

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Question

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System design: low-latency trading system with colocated box

You are designing infrastructure for an electronic trading system.

You have a server/locker box colocated next to the exchange (very low latency to the exchange).
Your traders work from an office in another city (higher latency, across a WAN).

Prompt

Design the end-to-end infrastructure needed to:

receive market data,
generate trading decisions,
manage risk,
send orders to the exchange,
monitor and control the system.

Discuss:

what runs in the colocated box vs the office,
networking choices (wires/links, redundancy, bandwidth vs latency trade-offs),
TCP/IP vs UDP considerations, packet loss/ordering, jitter,
servers, time sync, observability, and operational safety.

Assume extreme sensitivity to latency and correctness.

Design low-latency trading infrastructure

System design: low-latency trading system with colocated box

Prompt

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Design low-latency trading infrastructure

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System design: low-latency trading system with colocated box

Prompt

Solution

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