Measuring performance
No text on HFT optimization would be complete without discussing performance measurement. Due to the ultra-low latency nature of HFT applications, performance measurement infrastructure is often something that is built early on and maintained throughout the evolution of the HFT system. In this section, we will discuss in more detail why performance measurement is such a critical aspect, tools and techniques to measure performance for HFT systems, and what insights we can glean from the output of the measurements.
Motivation for measuring performance
Since HFT applications are incredibly reliant on super low average latency performance and low variance on the latency of their components, measuring the performance of each of their components on a regular basis is a particularly important task. As changes and improvements are made to the various components of an HFT system, there is always the possibility of introducing unexpected latency, so not having a robust...
