The client gateway is the gatekeeper for the exchange. It receives orders placed by clients and routes them to the order manager. The gateway provides the following functions as shown in 

The client gateway is on the critical path and is latency-sensitive. It should stay lightweight. It passes orders to the correct destinations as quickly as possible. The functions above, while critical, must be completed as quickly as possible. It is a design trade-off to decide what functionality to put in the client gateway, and what to leave out. As a general guideline, we should leave complicated functions to the matching engine and risk check.

There are different types of client gateways for retail and institutional clients. The main considerations are latency, transaction volume, and security requirements. For instance, institutions like the market makers provide a large portion of liquidity for the exchange. They require very low latency. Figure 9 shows different client gateway connections to an exchange. An extreme example is the colocation (colo) engine. It is the trading engine software running on some servers rented by the broker in the exchange’s data center. The latency is literally the time it takes for light to travel from the colocated server to the exchange server [10].