High-Performance Verifiable Central Limit Order Book (CLOB)

Abstract

This repository contains a reference implementation of a high-performance Central Limit Order Book exchange system with verifiable settlement capabilities. The system addresses the fundamental tension between execution speed required by market participants and transaction verifiability demanded by regulators through a novel separation of execution and settlement planes.

The system includes a modern web-based frontend built with Next.js, TypeScript, and Tailwind CSS, providing real-time order book visualization and trading capabilities.

1. System Overview

1.1 Core Architecture

The system implements a distributed exchange composed of the following components:

Backend Services

1. Ingress-Verifier: Client connection handler with signature validation
2. Market-Matcher: Sharded order matching engine
3. Settlement-Plane: Asynchronous state checkpoint service
4. Message Bus: Redis-based transaction log and communication layer

Frontend Application

1. Web Interface: Real-time order book visualization and trading interface
2. WebSocket Client: For real-time updates
3. REST API Client: For order submission and data retrieval

1.2 Design Principles

• Separation of Concerns: Execution and verification operate independently
• Horizontal Scalability: Service fleets scale based on workload
• Lock-Free Architecture: Single-threaded market matchers eliminate contention
• Verifiable State Transitions: Cryptographic proofs for all state changes

2. Architecture Description

2.1 Real-Time Execution Plane

The execution plane handles order processing with minimal latency:

Ingress Layer:

• TCP-based binary protocol for order submission
• Distributed signature verification farm
• Geographic distribution for latency optimization

Matching Engine:

• Single-threaded per market design
• In-memory order book implementation
• CPU core pinning for deterministic performance

pub fn verify_order_signature(order: &SignedOrder, public_key: &PublicKey) -> bool {
    let message = order.to_bytes();
    public_key.verify(&message, &order.signature).is_ok()
}

2.2 Asynchronous Settlement Plane

The settlement plane provides verifiability without blocking execution:

• Periodic state checkpointing (1-2 second intervals)
• Merkle root calculation for state commitments
• Append-only execution log for audit trail
• Optional TEE attestation for hardware-level verification

2.3 Message Bus Architecture

Redis serves dual purposes:

• Ultra-low-latency message passing between services
• Durable execution log storage

3. Implementation Details

3.1 Project Structure

clob-exchange/
├── clob/                  # Backend services
│   ├── crates/
│   │   ├── common-types/      # Core data structures
│   │   ├── matching-engine/   # CLOB logic implementation
│   │   ├── ingress-verifier/  # Client connection handler
│   │   ├── market-matcher/    # Market-specific matching
│   │   ├── settlement-plane/  # Background checkpointing
│   │   ├── verifier/          # Independent audit tool
│   │   ├── configuration/     # System configuration
│   │   └── benchmark-client/  # Performance measurement
│   ├── config.toml            # System configuration
│   └── GCP_DEPLOYMENT.md      # Production deployment guide
│
└── frontend/              # Web-based trading interface
    ├── public/            # Static assets
    ├── src/               # React/TypeScript source
    │   ├── components/    # Reusable UI components
    │   ├── pages/         # Application views
    │   ├── services/      # API clients
    │   └── styles/        # Global styles
    ├── package.json       # Frontend dependencies
    └── tsconfig.json      # TypeScript configuration

3.2 Technology Stack

Backend:

• Language: Rust (for memory safety and performance)
• Message Bus: Redis (for low-latency communication)
• WebSockets: For real-time market data and order updates
• Optional TEE: Intel SGX / AMD SEV

Frontend:

• Framework: React with TypeScript
• State Management: React Context API
• Styling: CSS Modules or Tailwind CSS
• Real-time Updates: WebSocket client
• Charting: Recharts or similar library for price/volume visualization

3.3 Performance Characteristics

Measured on reference hardware:

Metric	Value
Throughput	3,049 TPS
Median Latency (p50)	1.04ms
Tail Latency (p99)	1.57ms
Order Book Capacity	>1M orders

4. Frontend Development

4.1 Prerequisites

• Node.js (v16+ recommended)
• npm or yarn package manager

4.2 Setup and Running

# Install dependencies
cd frontend
npm install

# Start development server
npm run dev

The frontend will be available at http://localhost:3000 by default.

4.3 Key Features

• Real-time order book visualization
• Interactive price chart with depth view
• Order placement interface
• Trade history
• Responsive design for desktop and tablet

5. Backend Deployment Instructions

4.1 Prerequisites

• Rust toolchain (stable channel)
• Redis server (version 6.0+)
• Minimum 4GB RAM
• Linux environment (recommended)

4.2 Local Deployment

Step 1: Start Redis

redis-server

Step 2: Launch Backend Services

Terminal 1 - Ingress Verifier:

cd clob
cargo run --release --bin ingress-verifier

Terminal 2 - Market Matcher:

cd clob
cargo run --release --bin market-matcher 1

Terminal 3 - Settlement Plane:

cd clob
cargo run --release --bin settlement-plane

Step 3: Start Frontend Application

Terminal 4 - Frontend:

cd frontend
npm install
npm run dev

The web interface will be available at http://localhost:3000

4.3 User Operations

Web Interface

Access the trading interface at http://localhost:3000 to:

• View real-time order book
• Place and cancel orders
• Monitor market activity

API Endpoints

Create User Account:

curl -X POST http://127.0.0.1:9090/users

Deposit Funds:

curl -X POST http://127.0.0.1:9090/deposit \
  -H "Content-Type: application/json" \
  -d '{
    "user_id": <USER_ID>,
    "asset_id": 1,
    "amount": "10000.0"
  }'

Submit Order via CLI:

cargo run --release --bin benchmark-client <PRIVATE_KEY_HEX> <USER_ID> <MARKET_ID>

4.4 System Verification

Execute independent verification:

cargo run --release --bin verifier

The verifier reconstructs system state from the execution log and validates against published state roots.

5. Frontend Architecture

5.1 Technology Stack

• Framework: Next.js 14 with App Router
• Language: TypeScript
• Styling: Tailwind CSS
• State Management: React Query + Zustand
• WebSocket: Native WebSocket API
• UI Components: Headless UI + Heroicons

5.2 Key Features

• Real-time order book updates
• Responsive design for desktop and mobile
• Type-safe API client
• WebSocket integration for live updates
• Form validation and error handling

5.3 Development

To start the development server:

cd frontend
npm run dev

To build for production:

npm run build
npm start

6. Verification Model

6.1 Multi-Level Verification

Level 1 - Real-Time Verification: Market participants reconstruct order books from public market data feeds to detect anomalies.

Level 2 - Checkpoint Verification: Light clients verify TEE attestations and state root signatures without transaction replay.

Level 3 - Full Verification: Independent auditors download execution logs and replay all transactions to validate state transitions.

6.2 Verification Process

1. Retrieve checkpoint data (state root, log ID, attestation)
2. Download execution log segment from durable storage
3. Replay transactions using reference implementation
4. Compare computed state root with published root
5. Report discrepancies if detected

7. Testing

6.1 Integration Test

Automated multi-service test:

cd clob
cargo test --workspace --test integration_test

This test:

• Launches temporary Redis instance
• Starts all system services
• Executes sample transactions
• Verifies system state
• Tears down test environment

6.2 Performance Benchmark

Measure end-to-end latency:

cargo run --release --bin benchmark-client -- --num-traders 4 --duration-secs 30

8. Production Deployment

For production deployment on Google Cloud Platform with target throughput of 1M TPS across 21,000 markets.

Key considerations:

• Compact placement policies for minimal network latency
• Dedicated Redis instance on compute-optimized hardware
• Sharded market matcher fleet with core pinning
• Load balancer configuration for traffic distribution

9. Configuration

System configuration is defined in config.toml:

• Redis connection parameters
• Network endpoints and ports
• Checkpoint intervals
• Market definitions
• TEE configuration (if enabled)

10. Known Limitations

• Current implementation is for educational/research purposes
• No production-grade authentication/authorization
• Limited error handling in some code paths
• TEE integration is optional and not fully implemented
• Requires manual market shard assignment in production

11. Future Research Directions

• Cross-shard atomic swap mechanisms
• Zero-knowledge proof integration for privacy
• Optimistic rollup verification layer
• Hardware acceleration via FPGA/ASIC
• Byzantine fault tolerance for sequencer set

12. References

• Full architectural specification: PRODUCT.md
• Deployment guide: GCP_DEPLOYMENT.md
• Repository: https://github.com/yllvar/clob-exchange

13. License & Disclaimer

This is a reference implementation for educational and research purposes. It is not intended for production use without comprehensive security audits, regulatory compliance review, and proper operational infrastructure.

13. Contact

For technical questions or collaboration inquiries, please open an issue on the GitHub repository.