Jane Street Tech Talk
Title: Building an Exchange
Speaker: Yaron Minsky
Date: September 26, 2017
Time: 6:30pm - 7:30pm
Location: Gates Building, Room 104
Dinner will be served!
Electronic exchanges play an important role in the world financial system, acting as focal points where actors from across the world meet to trade with each other.
But building an exchange is a difficult technical challenge, requiring high transaction rates, low, deterministic response times, fairness, and reliability.
We'll look at the question of how to design an exchange through the lens of JX, a crossing engine we built at Jane Street in the last two years. Performance plays an interesting role in this design, in that, although the end-to-end latency of the system is not important in and of itself, the ability of individual components of JX to handle messages rates in the 500k/sec range with latencies in the single-digit microseconds helped us build a replicated system that is both simple and robust.
Yaron Minsky obtained his BA in mathematics from Princeton University and his PhD in Computer Science from Cornell University, focusing on distributed systems. In 2003, he joined Jane Street where he has worked in a number of areas, founding the quantitative research group and helping transition the firm to using OCaml, a statically typed functional programming langauge, as its primary development platform.