LMAX - How to Do 100K TPS at Less than 1ms Latency
Imp links :
http://martinfowler.com/articles/lmax.html
http://ftalphaville.ft.com/blog/2009/07/08/60761/the-cold-war-in-high-frequency-trading/
http://ftalphaville.ft.com/blog/tag/high-frequency-trading/
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