Chapter 6: HFT Optimization – Architecture and Operating System
In the previous chapter, we were presented with an outline of how a computer works with a focus on the main components that relate to HFT. In this chapter, we will discuss some of the commonly employed computer science and architecture optimization techniques specifically as they relate to HFT applications. We will provide some context with the details of how certain specific operations work in terms of what goes on under the hood, why they are inefficient, slow, and problematic for HFT software, and what techniques are used to get around it.
Some of the operations and constructs we will discuss are context switching between threads, locks to concurrently access shared data structures, and memory management/optimization motivations and techniques.
HFT is primarily an arms race where each HFT competitor is trying to execute trades as quickly as possible. So, getting to grips with the computer science fundamentals...
