Although somewhat dated (the infrastructure in from 2004, which can be considered to be light-years in the past), this is a useful read:
Benchmarking a High Performance Real-Time Transaction Engine Design
(Go to the bottom-left of the page, and click on the link that says "View or download")
Even more interesting is the slide deck that accompanied the presentation. Slides 24 to 32 give some insight into the .NET-based architecture of the London Stock Exchange.
©2008 Marc Adler - All Rights Reserved.
All opinions here are personal, and have no relation to my employer.