Design exchange–trading system message flow

Q: Design exchange–trading system message flow

This is a System Design interview question from Jane Street for Software Engineer roles. View the full question and solution on PracHub.

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Question

Design the message contract and flow between a firm's trading system (OMS/EMS) and an external exchange.

Assume:

The trading system sends orders and receives acknowledgements, rejects, cancels, and fills.
The exchange is an external system reachable over the network.
The system must handle retries, partial fills, out-of-order delivery, and disconnect/reconnect.

Deliverables:

What message types are required in each direction (trading system → exchange, exchange → trading system)?
For each message type, what are the key fields (IDs, timestamps, quantities, prices, etc.)?
How do you guarantee idempotency , ordering , and exactly-once or effectively-once processing at the application level?
How do you handle session management (heartbeats, sequence numbers, resend/replay) and failure modes (timeouts, dupes, reconnect)?

Design exchange–trading system message flow

Solution

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