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Design exchange–trading system message flow

Jane StreetSoftware Engineer · Onsite
EasySoftware EngineerOnsiteSystem Design

Last updated

This question evaluates a candidate's knowledge of distributed messaging protocols, fault-tolerant system design, and financial trading interface competencies, including defining message contracts, session management, and guarantees like idempotency and ordering.

Design the message contract and flow between a firm's trading system (OMS/EMS) and an external exchange.

Assume:

  • 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.

Deliverables:

  1. What message types are required in each direction (trading system → exchange, exchange → trading system)?
  2. For each message type, what are the key fields (IDs, timestamps, quantities, prices, etc.)?
  3. How do you guarantee idempotency, ordering, and exactly-once or effectively-once processing at the application level?
  4. How do you handle session management (heartbeats, sequence numbers, resend/replay) and failure modes (timeouts, dupes, reconnect)?