We’re about to do the first of what will hopefully become a series of public tech talks in our NY office.
The first talk is on February 2nd, and is an overview of the architecture of a modern exchange. The talk is being given by Brian Nigito, and is inspired by our work on JX, a crossing engine built at Jane Street. But Brian’s experience is much broader, going all the way back to the Island ECN, which in my mind marks the birth of the modern exchange.
I did some work on JX, and one of the things I was struck by is the role that performance plays in the design. In particular, JX uses a simple replication scheme based on reliable multicast that relies critically on the components of the system having high throughput and low, deterministic latencies.