C Design Patterns for Low-Latency Applications Including High-Frequency Trading

50 Pages Posted: 9 Sep 2023

See all articles by Paul Bilokon

Paul Bilokon

Thalesians; Imperial College London; Thalesians Marine Ltd; Imperial College London - Department of Mathematics; Imperial College London - Department of Computing

Burak Gunduz

Imperial College London - Department of Computing

Date Written: September 8, 2023

Abstract

This work aims to bridge the existing knowledge gap in the optimisation of latency-critical code, specifically focusing on high-frequency trading (HFT) systems. The research culminates in three main contributions: the creation of a Low-Latency Programming Repository, the optimisation of a market-neutral statistical arbitrage pairs trading strategy, and the implementation of the Disruptor pattern in C++. The repository serves as a practical guide and is enriched with rigorous statistical benchmarking, while the trading strategy optimisation led to substantial improvements in speed and profitability. The Disruptor pattern showcased significant performance enhancement over traditional queuing methods. Evaluation metrics include speed, cache utilisation, and statistical significance, among others. Techniques like Cache Warming and Constexpr showed the most significant gains in latency reduction. Future directions involve expanding the repository, testing the optimised trading algorithm in a live trading environment, and integrating the Disruptor pattern with the trading algorithm for comprehensive system benchmarking. The work is oriented towards academics and industry practitioners seeking to improve performance in latency-sensitive applications.

Keywords: low latency, real time computing, high-frequency trading, hft, high-performance computing

Suggested Citation

Bilokon, Paul and Gunduz, Burak, C Design Patterns for Low-Latency Applications Including High-Frequency Trading (September 8, 2023). Available at SSRN: https://ssrn.com/abstract=4565813 or http://dx.doi.org/10.2139/ssrn.4565813

Paul Bilokon (Contact Author)

Thalesians ( email )

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Imperial College London ( email )

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Thalesians Marine Ltd ( email )

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HOME PAGE: http://thalesiansmarine.com

Imperial College London - Department of Mathematics ( email )

South Kensington Campus
Imperial College
LONDON, SW7 2AZ
United Kingdom

HOME PAGE: http://profiles.imperial.ac.uk/paul.bilokon01

Imperial College London - Department of Computing ( email )

180 Queen's Gate
London, SW7 2AZ
United Kingdom

HOME PAGE: http://profiles.imperial.ac.uk/paul.bilokon01

Burak Gunduz

Imperial College London - Department of Computing ( email )

180 Queen's Gate
London, SW7 2AZ
United Kingdom

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