Best Practices on HFT low-latency software

After several years developing high-performance trading systems I come up with some rules of thumb. When talking about low latency/high frequency trading, I’m talking about software that must make a buy or sell decision within 20us (microseconds). In order to achieve these things, I’ve learned that I need to forget everything about modern software engineering. …

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Unlock the secrets of High-Frequency Trading systems

Data structures that are contained within a single cache-line are more efficient. Use appropriate containers (e.g. prefer reserved std::vector than std::list) Organize your data to avoid alignment holes (sorting your struct members by decreasing size is one way) Don’t neglect the cache in data structure and algorithm design Use smaller data types Beware of the …

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