41–50 of 69 posts
The job I signed up for didn't involve filtering mountains of this kind of generated trash and then needing to talk down generated replies. Kind of want to go work in an oilfield, maybe offshore.
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> What it does not do > No live exchange connectivity > No order routing, risk checks, or compliance layers > Not intended for real trading or commercial use I think you need to frame the website better to position this project. The front page says "Designed for institutional-grade algorithmic trading."
That’s fair feedback — you’re right that the front-page wording overreaches given the current scope. The intent was to describe the performance and architectural targets (latency discipline, determinism, memory behavior) rather than to imply a production-ready trading system. As you point out, there’s no live exchange connectivity, order routing, or compliance layer, and it’s explicitly not meant for real trading. I’…
The job I signed up for didn't involve filtering mountains of this kind of generated trash and then needing to talk down generated replies. Kind of want to go work in an oilfield, maybe offshore.
Congrats on the vacation vibes! Hope you enjoy some well-earned time offshore or wherever it takes you.
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The main goal is experimenting and sharing what I’ve learned. Seems like people are enjoying it, which is nice to see.
It's literally impossible to see what it is you've learned because it's clouded in in a 20ft wall of shit
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Congrats on the vacation vibes! Hope you enjoy some well-earned time offshore or wherever it takes you.
lmao is this parody/performance art?
- spin loop engine, could properly reset work available before calling the work function, and avoid yielding if new work was added in-between. I don't see how you avoid reentrancy issues as-is.
- lockfree queue, the buffer should store storage for Ts, not Ts. As it is, looks not only UB, but broken for any non-trivial type.
- metrics, the system seems weakly consistent, that's not ideal. You could use seqlocks or similar techniques.
- websocket, lacking error handling, or handling for slow or unreliable consumers. That could make your whole application unreliable as you buffer indefinitely.
- order books; first, using double for price everywhere, problematic for many applications, and causing unnecessary overhead on the decoding path. Then the data structure doesn't handle very sparse and deep books nor significant drift during the day. Richness of the data is also fairly low but what you need is strategy-dependent. Having to sort on query is also quite inefficient when you could just structure your levels in order to begin with, typically with a circular buffer kind of structure (as the same prices will frequently oscillate between bid and ask sides, you just need to track where bid/ask start/end).
- strategy, the system doesn't seem particularly suited for multi-level tick-aware microstructure strategies. I get more of a MFT vibe from this.
- simulation, you're using a probabilistic model for fill rate with market impact and the like. In HFT I think precise matching engine simulation is more common, but I guess this is again more of a MFT tangent. Could be nice to layer the two.
- risk checks, some of those seem unnecessary on the hot path, since you can just lower the position or pnl limits to order size limits.
Some comments from skimming through the code: - spin loop engine, could properly reset work available before calling the work function, and avoid yielding if new work was added in-between. I don't see how you avoid reentrancy issues as-is. - lockfree queue, the buffer should store storage for Ts, not Ts. As it is, looks not only UB, but broken for any non-trivial type. - metrics, the system seems weakly consistent, t…
Those numbers seem to be TSC sampled in software from the moment it receives a full frame to the moment it starts sending a packet. The traditional way to measure performance in HFT is hardware timestamps on the wire, start of frame in to start of frame out. With those measurements the performance is probably closer to 2us, which is usually the realistic limit of a non-trivial software trading system.
Not really, often you can pre compute your model and just do some kind of interpolation on price change and get it done sub 1us wire-to-wire.
Reacting to incomplete frames in software is possible, but realistically at this point just use FPGAs already.