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Computer Science > Performance

arXiv:2309.04259 (cs)
[Submitted on 8 Sep 2023]

Title:C++ Design Patterns for Low-latency Applications Including
High-frequency Trading

Authors:Paul Bilokon, Burak Gunduz
View a PDF of the paper titled C++ Design Patterns for Low-latency
Applications Including High-frequency Trading, by Paul Bilokon and
Burak Gunduz
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    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.

Subjects: Performance (cs.PF); Trading and Market Microstructure
          (q-fin.TR)
Cite as:  arXiv:2309.04259 [cs.PF]
          (or arXiv:2309.04259v1 [cs.PF] for this version)
          https://doi.org/10.48550/arXiv.2309.04259
          Focus to learn more
          arXiv-issued DOI via DataCite

Submission history

From: Paul Bilokon [view email]
[v1] Fri, 8 Sep 2023 11:01:05 UTC (1,779 KB)
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    Low-latency Applications Including High-frequency Trading, by
    Paul Bilokon and Burak Gunduz
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