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Architecting High Frequency Trading Systems
Modern C++ design patterns for Lock-Free Pipelines, Kernel Bypass, and Nanosecond Execution.
Every nanosecond is a decision. Most trading systems lose thousands of them before the strategy even runs.Architecting HFT Systems in Modern C++ is the build manual for the systems that don’t. Starting from bare metal, you’ll construct a complete high-frequency trading pipeline, from packet arrival to order on the wire, with zero heap allocation and zero system calls on the hot path.You’ll learn how to:Tune Linux for deterministic, low-jitter execution with isolated cores, IRQ affinity, and tickless kernelsReplace malloc with arena allocators, pre-faulted pools, and clocks that never touch the kernelWire every component through lock-free SPSC queues using only the memory ordering you actually needBypass the kernel with DPDK, ef_vi, and io_uring, reading packets exactly where DMA placed themDecode ITCH, SBE, and FAST feeds at wire speed with branchless, compile-time-dispatched parsersBuild a cache-resident order book that updates in nanoseconds, not microsecondsRun strategies through a zero-virtual-call harness and enforce risk limits in a handful of instructionsProve it all with deterministic pcap replay, a simulated exchange, and automated latency regression detectionEvery chapter ends with a Latency and Determinism Ledger, a running p50/p99/p99.9 record that shows exactly where each nanosecond went and how it was won back.No toy examples. No hand-waving. Just the architecture, the code, and the measurements behind real tick-to-trade performance.Speed without determinism is luck. This book teaches you both.Short version (for ads or the subtitle line):Build a complete HFT pipeline in modern C++, from kernel bypass to order on the wire, with zero allocation, zero syscalls, and every nanosecond measured.
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