Understanding HFT computers
It's easy to imagine you might need some specialized computer hardware for any low-latency trading strategy. This is not the case – most hardware is normal off-the-shelf hardware. How you configure the hardware is more important for most cases. Figure 4.1 shows a primary CPU, representing how a developer of an HFT system thinks about the CPU's architecture.
Figure 4.1 – Primary CPU
As we discussed in previous chapters, the purpose of a server in an HFT system is to handle baseline trading functions: receiving market data, executing algorithmic models, and sending orders to an exchange. This system has a network interface to send and receive data to and from a business or communicate with other trading systems inside the firm. Chapter 5, Networking in Motion, focuses on this aspect. Once a packet comes off the wire, the central processing unit (CPU) does the heaviest lifting. Packets will arrive in host memory...
