Wednesday 27 October 2010

LMAX Launch

After 3 years of hard work (admittedly only about 1.5 for me), my place of work has finally launched its flagship product LMAX Trader. It's been really exciting to see the fruits of our labour go live and seeing some the reaction in the press. The marketing messaging talks about being the world's first multi-asset retail exchange, real time margining etc, etc.

What's even more interesting is the technology. Some challenging latency and throughput requirements have led us to take a very back to basics approach to the design and eschewed most of the typical solutions in the enterprise software space. The back end is heavily asynchronous with a funky high-performance reliable messaging system, with custom persistence (journal-based). For retail users almost all of the data is delivered over long poll/comet to a single page GWT UI.

It's an incredibly interesting place to work (today our B.A. started modelling our client accounting system using Feynman diagrams). Now that we're live I'm hoping to blog about some of the things I've been working on.

The CTO and I are off to San Francisco next week to speak at QCon (under the Architecture Anarchists track) about some of the challenges we faced and some of the solutions we devised. It will hopefully be interesting for those interested in HPC and concurrency.


RichB said...

I saw the LMAX presentation at QCon London earlier this year - and was very impressed. Many years ago, I used to be at Betfair - so it's fascinating how a long-time goal of the organisation has finally come to fruition.

RichB said...

The thing that confuses me about LMAX is perf. The published LMAX latencies are sub-1 millisecond, but the (soon to be) published LSE latencies are sub 0.2 millisecond. Does that mean the LSE is 5x faster?

Michael Barker said...

Sub-1 millisecond latencies are not really official numbers, we've only been live for 5 days and haven't published latencies yet. 1ms@100k tps is goal we've set for ourselves (based on the talks from QCon), but an number of exchanges have moved on in recent times. The most impressive is NYSE Euronext which are talking about 90μs. We've got some work to do to remain competitive in the latency space.