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Design an Exchange-Trading System Message Flow
Design the message contract and flow between a firm's internal trading system (Order Management System/Execution Management System - OMS/EMS) and an external exchange.
Assumptions
- The trading system sends orders and receives acknowledgements, rejects, cancels, and fills.
- The exchange is an external system reachable over the network.
- The system must handle retries, partial fills, out-of-order delivery, and disconnect/reconnect scenarios.
Deliverables
- Identify the message types required for communication in each direction (trading system → exchange, and exchange → trading system).
- For each message type, specify the key fields (e.g., IDs, timestamps, quantities, prices) necessary for its function.
- Describe how to guarantee idempotency, ordering, and exactly-once or effectively-once processing at the application level.
- Explain your approach to session management (including heartbeats, sequence numbers, resend/replay mechanisms) and failure modes (such as timeouts, duplicate messages, and reconnect logic).
AI interview prep
Core dilemma
Balancing extreme low-latency, high-throughput message processing with absolute correctness, strict ordering, and robust fault tolerance in a distributed, unreliable network environment for critical financial transactions.
Mid-level signals3
Senior signals3
Red flags3
3 tradeoffs and 3 stress tests locked
Interview prep
Unlock the interviewer X-Ray rubric, tradeoff matrix, stress tests, clarifying questions, and key concepts.
Design an Exchange-Trading System Message Flow
Design the message contract and flow between a firm's internal trading system (Order Management System/Execution Management System - OMS/EMS) and an external exchange.
Assumptions
- The trading system sends orders and receives acknowledgements, rejects, cancels, and fills.
- The exchange is an external system reachable over the network.
- The system must handle retries, partial fills, out-of-order delivery, and disconnect/reconnect scenarios.
Deliverables
- Identify the message types required for communication in each direction (trading system → exchange, and exchange → trading system).
- For each message type, specify the key fields (e.g., IDs, timestamps, quantities, prices) necessary for its function.
- Describe how to guarantee idempotency, ordering, and exactly-once or effectively-once processing at the application level.
- Explain your approach to session management (including heartbeats, sequence numbers, resend/replay mechanisms) and failure modes (such as timeouts, duplicate messages, and reconnect logic).