The sequencer is the key component that makes the matching engine deterministic. It stamps every incoming order with a sequence ID before it is processed by the matching engine. It also stamps every pair of executions (fills) completed by the matching engine with sequence IDs. In other words, the sequencer has an inbound and an outbound instance, with each maintaining its own sequences. The sequence generated by each sequencer must be sequential numbers, so that any missing numbers can be easily detected. See Figure 7 for details.

The incoming orders and outgoing executions are stamped with sequence IDs for these reasons:

Timeliness and fairness

Fast recovery

Exactly-once guarantee

The sequencer does not only generate sequence IDs. It also functions as a message queue. There is one to send messages (incoming orders) to the matching engine, and another one to send messages (executions) back to the order manager. It is also an event store for the orders and executions. It is similar to having two Kafka event streams connected to the matching engine, one for incoming orders and the other for outgoing executions. In fact, we could have used Kafka if its latency was lower and more predictable. We discuss how the sequencer is implemented in a low-latency exchange environment in the deep dive section.