Chapter 4: HFT System Foundations – From Hardware to OS
In the previous chapter, we learned how an exchange works. We reviewed the functional components of an exchange and the matching engine. This chapter will explain the basic hardware and operating system (OS) of an HFT system.
This chapter will cover the following topics:
- Understanding HFT computers
- Using the OS for HFT
- The role of compilers
We will learn in later chapters that high frequency is relative to the types of trading strategies and the assets you're trading, as well as the capabilities of the exchanges you're trading on. Achieving a tick-to-trade latency of 100 microseconds requires careful programming and a good understanding of the underlying hardware. You need to write code best to take advantage of the CPU and its memory architecture and minimize the overhead of I/O operations. This chapter focuses on getting the baseline (in terms of the hardware and OS that we should...
