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1 Markets I: The Ecosystem and Exchange-Traded Marketsالأسواق عبر الإنترنت 2 Markets II: Rates, FX and Creditالأسواق عبر الإنترنت 3 Markets III: Commodities, Energy and Cryptoالأسواق عبر الإنترنت 4 Quantitative Methodsالأساليب عبر الإنترنت 5 Derivatives and Volatilityالمشتقات عبر الإنترنت 6 Rates, Credit, XVA and Riskالفائدة والائتمان والمخاطر عبر الإنترنت 7 Research Craft: Predictors, Backtests, Measurement, Portfoliosالبحث عبر الإنترنت 8 Strategies I: Equities and Futuresالاستراتيجيات عبر الإنترنت 9 Strategies II: Volatility, Relative Value, Macro and the Bank Desksالاستراتيجيات عبر الإنترنت 10 Microstructure and Executionالتنفيذ عبر الإنترنت 11 Market Making and High-Frequency Tradingصناعة السوق عبر الإنترنت 12 Machine Learning for Marketsتعلم الآلة عبر الإنترنت 13 Low-Latency Softwareالتكنولوجيا عبر الإنترنت 14 Networks, Hardware and Trading Infrastructureالتكنولوجيا عبر الإنترنت 15 Research, Data and Risk Platformsالتكنولوجيا عبر الإنترنت 16 The Desk and the Firmالشركة عبر الإنترنت 17 The Industry: Firms, Roles and Careersالمسارات المهنية عبر الإنترنت 18 The Interview Bookالمسارات المهنية عبر الإنترنت
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Quantitative Finance · المسرد

ما معنى Idempotent processing؟

Definition 24.4 Low-Latency Software · الفصل 24 — Resilience

An operation is processed idempotently if doing it twice has the same effect as doing it once. For orders, it means that every order carries an identifier fixed when it is created, so that the venue, or the firm’s own gateway, recognises a second copy and discards it.

procedureduplicates, by stage of the order at the failurelargest position
journaledin flightat the venuereported
fresh identifiers0272701 100
fresh identifiers, reconciled first00001 000
idempotency keys00001 000
Table 24.1. The primary killed at each of four stages of each of the scenario’s 46 orders (184 failovers per procedure) against the matching engine; recovery took 2.8 to 3.1 ms3.1\,\mathrm{m}\mathrm{s} in every case, and the state always equalled a replay of the journal. Data: fig_failover.py (deterministic).
The life of one order and the window in which a failover can duplicate it: from the moment it leaves to the moment its report is journaled, two network crossings. With fresh identifiers and no reconciliation, a failure anywhere in the red window sends the order twice if it had been executed.
Figure 24.2. The life of one order and the window in which a failover can duplicate it: from the moment it leaves to the moment its report is journaled, two network crossings. With fresh identifiers and no reconciliation, a failure anywhere in the red window sends the order twice if it had been executed.
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