Lập trình viên tối ưu Matching Engine (hệ thống khớp lệnh) đạt 150 triệu lệnh/giây chỉ với một nhân CPU bằng C++20.
Điểm nổi bật:
- Hiệu suất: 156M lệnh/giây (benchmark) và 132M lệnh/giây (dữ liệu thực Binance).
- Độ trễ: < 1 micro giây.
- Kỹ thuật: Zero Allocation (std::pmr), Lock-free (SPSC Ring Buffer), và tối ưu Cache (Flat vectors thay cho std::map).
Dự án mã nguồn mở trên GitHub dành cho ai quan tâm đến HFT và tối ưu hệ thống.
#Cplusplus #Cpp20 #Programming #HFT #MatchingEngine #OpenSou
Ultra-Low-Latency Trading System
https://submicro.krishnabajpai.me/
#ycombinator #low_latency_trading #algorithmic_trading #high_frequency_trading #HFT #quantitative_trading #C_trading_system #Rust_trading #sub_microsecond_latency #nanosecond_trading #lock_free_trading_system #deterministic_execution #FPGA_trading #SIMD_optimization #market_making #execution_engine
Tail Call Optimiztion in BEAM vs Rust loops for HFT systems:
BEAM/Elixir:
+ Guaranteed tail call optimization
+ Million+ concurrent processes trivially
- GC pauses
- Less predictable latency profile
Rust:
+ Explicit loop = zero-cost, predictable
+ No GC, deterministic performance
+ Sub-100μs consistently achievable
- Manual concurrency management
For market data aggregation? BEAM wins.
For order execution? Rust every time.
High-Frequency Trading #politics #hft #atm #stock #market #trading A proposal for a rapidly diminishing tax on how long you hold a stock before trading it again.
https://fed.brid.gy/r/https://ithoughthecamewithyou.com/post/high-frequency-trading
Dans les collaborations de Paul Personne, « Amicalement Blues » en 2007 avec #HFT.
New article: NUMA allocators for high-performance systems
Ever wondered why your trading system has inconsistent latencies? Memory placement matters more than you think!
Remote NUMA access = 2x slower than local (120ns vs 60ns). For sub-microsecond HFT systems, that's huge.
My beginner guide covers topology detection, allocator composition, and integration with object pools.
Great foundation for production trading systems.
https://rustquant.dev/blog/numa-allocators-beginner/
TitanRt 0.3 — Пишем свой CoinMarketCup: часть 1
Что ж, да, вы не ослышались — прямо сейчас мы с вами напишем свой движок для поддержания такого бэкенда, как у CoinMarketCup (кмк). И писать будем на моем любимом Rust. Использовать под капотом будем мою либу TitanRt , которую я лениво и скомкано презентовал в предыдущем посте. Постараюсь быть полезным и последовательным. Осторожно: много кода (с комментариями)...
https://habr.com/ru/articles/944308/
#streaming #net #rust #hft #трейдинг #крипто #crypto #cryptocurrency
New HFT article: Why P99.9 latency > average performance
Your system: 100ns avg latency ✅
Reality: 10μs P99.9 = losing money
In trading, that 0.1% tail determines profitability.
Key optimization strategies:
• Zero-alloc hot paths
• Wait-free data structures• Pre-allocated buffers
• Monitor percentiles not averages
You're only as fast as your slowest percentile.
Full breakdown: https://rustquant.dev/blog/tail-latency-hft-systems/
"High-frequency traders pay for an advanced look at [market] information so they are in an unfair position. They know the prices before the ordinary investors they are trading against.’ https://www.bbc.com/news/business-32246655.amp
Taking a larger snapshot, the boom and bust bubble market is suspect. Foreknowledge as in insider trading paves corruption, and the tech sector and others before it are deliberately pumped and dumped to cover debt and provide finance. In short, deregulatory markets are rigged like a casino. The house being owned by the ultra rich oligarchs and plutocrats, is there to preserve and protect their totalitarian world order and its programme of ecocide! #RiggedMarkets #EcocideEmpire #CasinoCapital #HFT
Check out how neat the generated documentation looks for my benchmarking suite:
If you want your HFT operations perform up to the limit of the metal, you need to bypass the kernel for network, this paper is a solid base in uderstanding this solution:
Article about my benchmarking framework using
CPU timestamp counters for cycle-level accuracy.
• Cross-platform timing (x86_64 + ARM64)
• Statistical analysis focused on tail latency
• ~35ns (~42 in aarm64) measurement overhead
• Automated performance regression detection
We can detect changes as small as 10-20 nanoseconds - crucial where in HFT where every nanosecond matters.
https://rustquant.dev/blog/nanosecond-precision-benchmarking-rust-hft/
#Rustlang #Performance #Benchmarking #HFT #SystemsProgramming #OpenSource
TitanRt — реактивный рантайм для реального времени (и не только HFT)
Сегодня решил собрать воедино то, что я знаю о разработке высокочастотных систем в связке с Rust. Из кусков кода, по сусекам, что называется, по репозиториям наскреб и склеил с помощью готопоты достойную к вашему вниманию либу. Библа позволит сохранить время всем, кто стремиться одновременно и к скорости, и гибкости. Планирую сам активно юзать, чтобы перейти со старой асинхронной торговой инфры в истинные треды с закосом под ультра. И развивать либу под брендом TitanRt. А если сообществу зайдет, так вообще мотивации прибавиться. Итак, TitanRt - typed reactive runtime для построения реактивных, низколатентных систем на Rust. Если упростить: это минималистичная основа для приложений, которые живут в цикле событий , где важны:
Aviation weather for Hammerfest airport (Norway) is “ENHF 180650Z VRB02KT 9999 -RA FEW006 SCT013 BKN028 09/08 Q1005 RMK WIND 1253FT 18008KT” : See what it means on https://www.bigorre.org/aero/meteo/enhf/en #hammerfest #norway #hammerfestairport #enhf #hft #metar #aviation #aviationweather #avgeek #airport vl
Working on a benchmark suite for my Rust HFT framework. Current tests cover TSC timing, precision timers, memory allocation, and system process overhead.
Next up: network I/O, trading pattern benchmarks, and concurrency testing.
#RustLang #HFT #Performance
Everything you need to get lost in the art of software optimization: https://www.agner.org/optimize/
Just published a new theory article on https://rustquant.dev this time about iceberg and stop-loss orders in the context of a Rust-based order book engine.
Not an expert, just documenting the journey and trying to break down what I’m learning. These topics deserve much deeper treatment, so any feedback is welcome.
#rustlang #trading #hft #orderbook #fintech #opensource #eventdriven #systemdesign #rustdev
New in my Rust HFT framework series: “Building a Limit Order Book in Rust”
- Modeling orders and price levels
- Implementing matching logic step by step
- Data-structure trade-offs and next steps for benchmarking and tests
Part of a multi-article journey toward a production-grade, low-latency engine.
I have added a high-level schema about the limit order book that we will be covering next, check it out at https://rustquant.dev/blog/building-limit-order-book/
Also utteranc.es comments, which I <3
New article at https://rustquant.dev
“Understanding market microstructure in high-frequency trading”
A concise intro to order books, ticks, queues, and latency-sensitive behavior.
Also launched a Resources page with curated links to specs, books & tools:
https://rustquant.dev/resources
Not expert advice, just learning in public.
#rustlang #HFT #trading #marketmicrostructure #FIX #ITCH #rustquant
