Low-Latency

Our market data distribution problem was straightforward to state and hard to solve: deliver price updates to a dozen internal consumers with sub-500µs latency at 400,000 messages/second, with no head-of-line blocking between consumers. TCP broadcasting is serial — slow consumers stall fast ones. ZeroMQ was promising but showed GC pressure from its buffer management. Kafka was built for durability, not microsecond latency. When Martin Thompson and Todd Montgomery open-sourced Aeron in 2014, it solved almost exactly this problem. ...

The feed handler is where the external world becomes internal data. A FIX or binary protocol stream arrives over the network, gets parsed into typed events, and gets handed to the internal processing pipeline. Nothing downstream can be faster than the feed handler’s latency. This is the design I evolved over three iterations at the trading firm. ...