DBO: Fairness for Cloud-Hosted Financial Exchanges

We consider the problem of hosting financial exchanges in the cloud. Exchanges necessitate strong fairness guarantees for competing participants, particularly for use cases such as “high frequency trading”. Today, exchanges achieve such guarantees by providing equal latency across all market participants in their on-premise deployments. However, ensuring equal latency for fairness is notably challenging in current multi-tenant cloud deployments, mainly due to factors such as network congestion and non-equidistant network paths.

In this paper, we address the problem of unfairness stemming from unpredictable and unbounded network latency in cloud networks. Taking inspiration from the use of logical clocks in distributed systems, we present Delivery Based Ordering (DBO), a novel mechanism that guarantees fairness by post-hoc offsetting the latency differences among market participants in the cloud. We thoroughly evaluate DBO in simulation, a bare-metal testbed and a public cloud deployment, and we demonstrate that it is feasible to guarantee fairness while operating at high transaction rates with a sub-100μs end-to-end latency.