How Sacrosanct is Matching Engine Design?

Since covering the electronic trading markets for more than a decade, convention wisdom on matching engine design has been keep it simple, scalable and dedicated to matching. Any other ancillary functions should hang off the engine but not incorporated into the engine.

However at today’s FIA Expo NY, Mayur Kapani, vice president, trading technology at the IntercontinentalExchange (ICE) shared with a panel audience that the futures exchange has researched how to perform in-line risk checks within its matching engine to reduce the amount broken trade due to errant trades.

Karpani said that they investigated using FPGAs, but found Intel’s Nehalem processors do a good job of communicating data locally – up to an order of magnitude better than what they saw a few years ago.

I’m not sure if fellow panelist Ugur Arslan, CEO of forex high frequency trading firm Aien Technology was joking when he suggested creating the ultimate co-location within a matching engine by using shared memory channels to support 50 to 100,000 clients with single-digit microsecond latencies.

If he’s serious, that muffled popping sound you hear are the brains of more than a few regulators and politicians exploding.