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LLM Stock Exchange Use Case

To demonstrate the capabilities of LLM and RCMS, we developed a stock exchange reference architecture (SXRA) proof of concept (PoC). The SXRA PoC demonstrates the ability to provide ultra-low latency, high throughput, and highly-available order matching.

The basic architecture of the SXRA PoC is shown below. The PoC includes a number of Gateways (GWs) sending buy/sell orders to the execution venues (Matching Engine). In this example, the EV component is replicated three times for high availability. RCMS ensures that all the instances of the EV are synchronized and perform exactly the same actions. Messages are processed at the EV's application layer, which includes performing order matching and updating an in-memory order book. The output is then sent through RCMS to both the GWs and to a recorder that records trades to a database. RCMS automatically selects one of the EVs to act as a primary, and only this EV will actually send the output to the GWs and the recorder. In this case, even if two of the three EVs fail, the application will continue to function correctly.

The SXRA PoC demonstrates a stock exchange environment that is capable of achieving unmatched performance in both latency and throughput.

  • GW to GW latency of less than 12 microseconds, including message processing at GW and EV
  • Capable of processing over 5 million orders/second
  • Using 10 GWs and 8 EVs

Basic architecture of the SXRA PoC
Basic architecture of the SXRA PoC