C Design Patterns for HFT Optimization
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aniket yadavC Design Patterns for HFT Optimization
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<title>C Design Patterns for Low-Latency Applications Including High-
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<h1>C Design Patterns for Low-Latency Applications Including High-Frequency
Trading</h1>
<div class="reference-info">
</div>
<p class="note note-list">
<span>50 Pages</span>
<span>Posted: 9 Sep 2023</span>
</p>
<div class="authors authors-full-width">
<a class='lead-author-profile-link'
href=[Link]
target='_blank' title='View other papers by this author'><span>See all articles by
Paul Alexander Bilokon</span><i class='icon icon-gizmo-navigate-right' aria-
hidden='true'></i></a><h2><A
HREF=[Link]
target='_blank' title='View other papers by this author'>Paul Alexander
Bilokon</a></h2><p>Imperial College London - Department of Mathematics;
Thalesians</p><h2><A HREF=[Link]
per_id=6136517 target='_blank' title='View other papers by this author'>Burak
Gunduz</a></h2><p>Imperial College London - Department of Computing</p>
</div>
<p>Date Written: September 8, 2023</p>
<div class="abstract-text">
<h3>Abstract</h3>
<p>This work aims to bridge the existing knowledge gap in the
optimisation of latency-critical code, specifically focusing on high-frequency
trading (HFT) systems. The research culminates in three main contributions: the
creation of a Low-Latency Programming Repository, the optimisation of a market-
neutral statistical arbitrage pairs trading strategy, and the implementation of the
Disruptor pattern in C++. The repository serves as a practical guide and is
enriched with rigorous statistical benchmarking, while the trading strategy
optimisation led to substantial improvements in speed and profitability. The
Disruptor pattern showcased significant performance enhancement over traditional
queuing methods. Evaluation metrics include speed, cache utilisation, and
statistical significance, among others. Techniques like Cache Warming and Constexpr
showed the most significant gains in latency reduction. Future directions involve
expanding the repository, testing the optimised trading algorithm in a live trading
environment, and integrating the Disruptor pattern with the trading algorithm for
comprehensive system benchmarking. The work is oriented towards academics and
industry practitioners seeking to improve performance in latency-sensitive
applications. <P></p>
</div>
<center>
</center>
<p><strong>Keywords:</strong> low latency, real time computing, high-
frequency trading, hft, high-performance computing</p>
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<strong class="hidden-xs hidden-sm">Suggested Citation:</strong>
<a href="#" class="suggested-citation-btn btn-link visible-xs visible-
sm">Suggested Citation<i class="icon icon-gizmo-navigate-right"></i></a>
</p>
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citation">
Alexander Bilokon, Paul and Gunduz, Burak, C Design Patterns
for Low-Latency Applications Including High-Frequency Trading (September 8, 2023).
Available at SSRN: <a href="[Link]
target="_blank">[Link] or <a
href="[Link] class="textlink"
target="_blank">[Link] </a>
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