Use case - Building an FX high-frequency trading system
A company needs an HFT system capable of sending an order within 20 microseconds. To do this, the company can follow this approach:
- Choose a multi-process architecture over a multi-core architecture.
- Ensure each process is pinned to a specific core to reduce context switches.
- Have processes communicating over a circular buffer (lock-free data structure) in shared memory.
- Design the network stack using Solarflare OpenOnload for network acceleration.
- Increase the page size to reduce the number of TLB cache misses.
- Disable hyperthreading to get more control over the concurrency execution of the processes.
- Use the CRTP to reduce the number of virtual functions.
- Remove runtime decisions by using templated data structures.
- Pre-allocate data structures to avoid any allocation on the critical path.
- Send fake orders to keep caches hot and allow an order to go out at the last moment.
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