Problems / Real world, hard

Market open: six times the traffic in one second

Asked at Robinhood and Coinbase. Apps poll quotes from Postgres, place orders through the same API (which calls the exchange and writes positions in the same request), and read portfolios from the same database. At 5 s the market opens and traffic jumps six-fold for 10 seconds.

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Your goals

Success ≥ 99.5%, p99 ≤ 800 ms and Apdex ≥ 0.90 through the open, for at most $16,000 a month.

Test cases

Like a coding problem, a solution has to pass every case, not just the one it was built for. Submit in the lab runs all 4; 1 of them are hidden until then.

  1. As given. The problem’s own traffic, scheduled failures and seed.
  2. A slow dependency. The main data store or model answers twice as slowly for part of the run.
  3. A server dies. One replica of the service with the most replicas is killed for part of the run.

The traffic

5,000 requests a second for 20 seconds: 80% quote (reads), 15% order (writes), 5% portfolio (reads).

The system

What each component does in this design, and what calls it. The simulator mimics each one from these settings.

ComponentIts job hereSettings
Load balancerLoad balancerTraffic enters here.Calls Brokerage API.Layer 4 balancers route by IP and port; layer 7 balancers read HTTP and can route by path or header.–
Brokerage APIApp serviceLoad balancer forwards to it.Calls Quotes, orders and positions (Postgres), Exchange gateway.Little's law: throughput ≈ concurrency ÷ latency. 200 slots at 50 ms serve about 4,000 req/s.12 replicas × 100 slots · timeout 1.0 s
Quotes, orders and positions (Postgres)SQL databaseBrokerage API calls it.Postgres runs one process per connection, which is why poolers like PgBouncer sit in front of busy databases.32 vCPU · 800 connections · 2 read replicas
Exchange gatewayMatching engineBrokerage API calls it for /order.An order book or dispatch queue is processed in sequence per market, which is why one market cannot simply be spread over many CPUs.256 slots

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