Low-Latency Trading Systems Framework

Overview

This is my approach for a high-performance, production-grade C++ framework for building ultra-low-latency trading systems, used for quantitative finance and systems programming. My focus was on highly efficient and especially clean code. I saw this project as a challenge, trying to push as hard as I can, seeing what I can get done if I give it my all.

Key Features

• 🚀 Sub-microsecond latency processing (blazingly fast IMO)
• 🔬 Statistical arbitrage strategy
• 🧊 Lock-free concurrent data structures
• 📊 Market data simulation (though, only a simulation)
• 🔍 Detailed performance benchmarking (run them yourself =)!)

Performance Highlights

Benchmark Results (M2 Max, macOS Sequoia)

Order Book Operations

• Add Order:
  • Mean Latency: 347.20 ns
  • 99.9th Percentile: 2,458 ns
• Best Bid/Ask Lookup:
  • Mean Latency: 14.32 ns
• Cancel Order:
  • Mean Latency: 327.69 ns

Lock-Free Queue

• Push/Pop Operations:
  • Mean Latency: ~14.5 ns
  • Consistently under 42 ns at 99th percentile

Technical Architecture

Components

• Market Data Handler: Real-time market data processing
• Strategy Engine: Advanced signal generation
• Execution Engine: Rapid order execution simulation
• Utility Modules:
  • Lock-free queues
  • Memory pooling
  • Precise timing mechanisms

Key Technologies

• Modern C++20
• Zero-overhead abstractions
• Cache-line optimized data structures
• Statistical arbitrage modeling

Getting Started

Prerequisites

• CMake (3.20+)
• Modern C++ Compiler (GCC 10+/Clang 10+/MSVC 19.2+)

Build Instructions

mkdir build && cd build
cmake -DCMAKE_BUILD_TYPE=Release ..
make

Run Benchmarks

# From build directory
./benchmark/latency_benchmark

Run Market Simulator

# From build directory
./examples/simulator

Performance Philosophy

Each line of code is crafted to minimize computational overhead and maximize throughput.

Potential Applications

• Algorithmic Trading Platforms
• Market Making Systems
• Quantitative Research Infrastructure
• High-Performance Financial Simulations
• Anything where you think that speed is key

Contributions

Feel free to give me feedback. Furthermore, if you find potential for optimization, I appreciate any feedback!

Open Source with Attribution

You are free to:

• Use the code in personal or commercial projects
• Modify and adapt the code
• Share and distribute the code

This project is shared in the spirit of open collaboration and learning. Respect for the original work is the only requirement.