Financial exchanges are migrating to the cloud, but the best-effort nature of the public cloud is at odds with the stringent latency requirements of exchanges. We present Jasper, a system for meeting the networking requirements of financial exchanges on the public cloud. Jasper uses an overlay tree to scalably multicast market data from an exchange to ~1000 participants with low latency (250 microseconds) and a 1-microsecond difference in data reception time between any two participants. Jasper reuses the same tree for scalable inbound communication (participants to exchange), augmenting it with order pacing and a new priority queue, Limit Order Queue (LOQ), to efficiently handle bursts of market orders. Jasper achieves better scalability and 50% lower latency than the AWS multicast service. During bursty market activity, LOQ nearly doubles the order processing rate.
@article{arxiv.2402.09527,
title = {Design and Implementation of a Scalable Financial Exchange in the Public Cloud},
author = {Muhammad Haseeb and Jinkun Geng and Daniel Duclos-Cavalcanti and Ulysses Butler and Xiyu Hao and Radhika Mittal and Srinivas Narayana and Anirudh Sivaraman},
journal= {arXiv preprint arXiv:2402.09527},
year = {2025}
}