Market Exchange: 2. The Architecture
The exchange will be written in Go.
Other than SQL driver, I won’t be using any third party libraries, since Go has excellent http standard library, especially since this is a REST app.
This app will have two different types of request:
- Order request / response
- Live price update
Order
This request is straight forward. The bot will submit the request, and receive the response accordingly. HTTP request is absolutely perfect for this, since it is a transactional in nature and highly reliable.
However, there’s a catch. If the order has long expiry date (ie “Good til end of day”), there will be a timeout, and the number of open threads can increase exponentially on a busy trading day. That means, for that client will recieve a Webhook request with order update (if there is any).
Order information embedding
Since it’s a market exchange, information communicated between the client and exchange needs to be as small as possible, especially considering the low latency aspect of the exchange.
Here are the options I have considered:
- GET request with order information in URI
111XYZQ000000004200000001000000000175929186000000000001759291860000c74c6b06356b44e6b2b3a3a2b7f2d8b89e6b08ca0d114f8c8f97be2e87f699f7
- GET request with order information in URI byte encoded
31313158595A5130303030303030303432303030303030303130303030303030303031373539323931383630303030303030303030303137353932393138363030303063373463366230363335366234346536623262336133613262376632643862383965366230386361306431313466386338663937626532653837663639396637
- POST Request with JSON in request body
{"txType":1,"method":1,"ordType":1,"ticker":"XYZQ","qty:":42,"price":100,"ordDate":1759291860000,"ordUntil":1759291860000,"traderId":"c74c6b06356b44e6b2b3a3a2b7f2d8b8","ordId":"9e6b08ca0d114f8c8f97be2e87f699f7"}
- POST Request with
[]bytein request body
31313158595A5130303030303030303432303030303030303130303030303030303031373539323931383630303030303030303030303137353932393138363030303063373463366230363335366234346536623262336133613262376632643862383965366230386361306431313466386338663937626532653837663639396637
Given the order information, and using http2 with curl request.
Order information:
111XYZQ000000004200000001000000000175929186000000000001759291860000c74c6b06356b44e6b2b3a3a2b7f2d8b89e6b08ca0d114f8c8f97be2e87f699f7
Below are the order byte sizes:
- 301 bytes
- 432 bytes
- 435 bytes
- 230 bytes
Live price update for AI bots
This request is less straight forward. REST is not a good solution here, since price updates need to be live, and not transactional, one-time event. That leaves me with two options: WebSocket vs gRPC.
A case for Webhook
- Great for mixed client (browser and bot), which can be used for web ui as well.
- Low latency
Live price update for web UI
Here I will be using Webhooks, since there won’t be heavy subscriber load. The low latency is not a must.
