C++ patterns for low-latency applications including high-frequency trading
1–10 of 240 posts
Re: C++ patterns for low-latency applications including high-frequency trading
#2Re: C++ patterns for low-latency applications including high-frequency trading
#3I've got an implementation of a stock exchange that uses the LMAX disruptor pattern in C++
https://github.com/sneilan/stock-exchange
And a basic implementation of the LMAX disruptor as a couple C++ files https://github.com/sneilan/lmax-disruptor-tutorial
I've been looking to rebuild this in rust however. I reached the point where I implemented my own websocket protocol, authentication system, SSL etc. Then I realized that memory management and dependencies are a lot easier in rust. Especially for a one man software project.
Re: C++ patterns for low-latency applications including high-frequency trading
#4Very cool intro to the subject!
Re: C++ patterns for low-latency applications including high-frequency trading
#5Is there any good reason for high-frequency trading to exist? People often complain about bitcoin wasting energy, but oddly this gets a free pass despite this being a definite net negative to society as far as I can tell.
Re: C++ patterns for low-latency applications including high-frequency trading
#6Is there any good reason for high-frequency trading to exist? People often complain about bitcoin wasting energy, but oddly this gets a free pass despite this being a definite net negative to society as far as I can tell.
It would be trivial (and vastly more equitable) to quantize trade times.
Re: C++ patterns for low-latency applications including high-frequency trading
#7Is there any good reason for high-frequency trading to exist? People often complain about bitcoin wasting energy, but oddly this gets a free pass despite this being a definite net negative to society as far as I can tell.
Non-bitcoin transactions are just a couple of entries in various databases. Mining bitcoin is intense number crunching.
HFT makes the financial markets a tiny bit more accurate by resolving inconsistencies (for example three pairs of currencies can get out of whack with one another) and obvious mispricings (for various definitions of "obvious")
Re: C++ patterns for low-latency applications including high-frequency trading
#8Is there any good reason for high-frequency trading to exist? People often complain about bitcoin wasting energy, but oddly this gets a free pass despite this being a definite net negative to society as far as I can tell.
To go a step further, I don't think you should be required to talk to middlemen when buying stocks, yet here we are. The house wants its cut.
Re: C++ patterns for low-latency applications including high-frequency trading
#9> The noted efficiency in compile-time dispatch is due to decisions about function calls being made during
the compilation phase. By bypassing the decision-making overhead present in runtime dispatch, programs
can execute more swiftly, thus boosting performance.
The other benefit with compile-time dispatch is that when the compiler can statically determine which function is being called, it may be able to inline the called function's code directly at the callsite. That eliminates all of the function call overhead and may also enable further optimizations (dead code elimination, constant propagation, etc.).
Re: C++ patterns for low-latency applications including high-frequency trading
#10Is there any good reason for high-frequency trading to exist? People often complain about bitcoin wasting energy, but oddly this gets a free pass despite this being a definite net negative to society as far as I can tell.
Warren Buffett proposed that the stock market should be open less frequently, like once a quarter or similar. This would encourage long-term investing rather than reacting to speculation.
Regardless, there are no natural events that necessitate high-frequency trading. The underlying value of things rarely changes very quickly, and if it does it's not volatile, rather it's a firm transiton.