Designing an Order Execution Engine: Why Traditional Scaling Laws Break Down ?
A few weeks ago, I had an amazing opportunity to interview at a top proprietary trading firm(can't disclose the name ). Even though I didn’t land the job, the technical evaluation pushed my understanding of backend systems to its absolute limit. They asked me a deceptively simple question: 'How do you design an order execution engine that handles a 100-million-order rush on a single stock ticker without cross-server latency spikes?' Here is exactly what I told them and I will try to serve you my understanding in a story form so it can make sense easily :).
May 15, 20265 min read5