DATE: Wednesday, April 10, 2024
TIME: 12:00 - 1:00 pm
PLACE: GHC 6115
SPEAKER: Yaron Minsky, Jane Street
TITLE: State Machine Replication and the Modern Exchange
ABSTRACT:
Electronic exchanges play an important role in the world's 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, high uptime, and durability. This talk will discuss how many exchanges have met these requirements using an architecture that uses state-machine replication for structuring applications, with reliable multicast providing the underlying data-distribution fabric. We'll discuss how this approach has influenced the shape of systems beyond exchanges themselves, through the lens of Jane Street's experience building multiple systems in this vein. Part of the challenge here is about providing a set of APIs that make it easy to build complex state-machine systems that are easy to write, test, and reason about. We'll also discuss some of the unusual performance challenges this architecture presents, and the mix of techniques used to achieve the necessary performance.
BIO:
Yaron Minsky got his BA in Mathematics from Princeton and his PhD in Computer Science from Cornell focusing on distributed systems. He joined Jane Street in 2003, where he founded the firm's quantitative research group. He introduced OCaml to the company and managed the transition to using OCaml for all of its core infrastructure, turning Jane Street into the world's largest industrial user of the language. He's been involved in many different aspects of Jane Street's technology stack, including machine learning infrastructure, incremental programming systems, hardware synthesis, trading and risk systems, developer tools, and user-interface toolkits.
VISITOR HOST: Justine Sherry (and Jan Hoffmann)
VISITOR COORDINATOR: Emily Spencer (and Michael Stanley)
SDI SEMINAR QUESTIONS?
Karen Lindenfelser, 86716, or visit www.pdl.cmu.edu/SDI/