Resources on latency, infrastructure, strategies, and simulation for high-frequency trading. Low-latency systems, co-location, market making, and ultra-fast backtesting.
This section covers the core pillars of high-frequency trading: infrastructure and latency optimization, strategy types (market making, arbitrage, execution algorithms), and simulation methodology for tick-level backtesting.
Content is research-oriented and covers both theoretical foundations and practical implementation considerations for HFT systems.
| 1. | Latency & Infrastructure (Infrastructure) Low-latency systems, co-location, and network optimization for HFT. |
| 2. | HFT Strategies (Strategies) Market making, arbitrage, and execution algorithms. |
| 3. | Simulation & Backtesting (Research) Ultra-fast HFT backtesting and tick-level simulation. |
| 4. | Deep Dive 1: MPSC/SPSC Lock-Free Queues in C++ (Memory Management) Eliminating std::mutex and false sharing on the hot path for order routing. |
| 5. | Deep Dive 2: Deterministic Latency with Custom Allocators (Memory Management) Overriding placement new and defeating OS heap fragmentation via Memory Pools. |
| 6. | Deep Dive 3: Struct Optimization and Processor Caching (Architecture) Data-Oriented Design (DoD), alignment, and padding to maximize L1/L2 hits. |
| 7. | Deep Dive 4: Kernel Bypass and Zero-Copy ITCH Processing (Networking) Bypassing the OS network stack using DPDK and Solarflare OpenOnload. |
| 8. | Deep Dive 5: Zero-Cost Abstractions via Compile-Time Magic (C++ Primitives) Statically resolving dynamic dispatch overhead using CRTP and constexpr. |
| 9. | Deep Dive 6: NUMA, CPU Pinning, and Jitter Control (Operations) A practical playbook to tame p99.99 latency via core isolation, IRQ affinity, and deterministic measurement. |
| 10. | Deep Dive 7: Tick-to-Trade Observability and Kill-Switches (Operations) Production diagnostics, latency segmentation, drop detection, replay parity, and incident-safe shutdown controls. |
| 11. | HFT Lab: Latency Budget Calculator (Tools) Interactive p99.9 tick-to-trade budgeting tool to validate infrastructure constraints before deployment. |