Building Ultra-Low Latency Trading Systems: A Deep Dive into HFT Architecture

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Level Up Coding

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3 min read

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Dec 4, 2024

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In high-frequency trading, where microseconds can mean millions in profit or loss, system architecture demands extreme optimization. Let’s explore how to build trading systems that operate at nanosecond-level latencies while maintaining reliability and accuracy.

Implementing Lock-Free Order Book Processing

First, let’s build a lock-free order book that can handle millions of updates per second:

template<typename Price, typename Size>
class LockFreeOrderBook {
private:
    // Price levels stored in a lock-free skip list
    struct PriceLevel {
        alignas(64) std::atomic<Size> total_size;
        alignas(64) std::atomic<uint32_t> order_count;
        tbb::concurrent_queue<Order> orders;
    };

    tbb::concurrent_skip_list<Price, PriceLevel> bid_levels;
    tbb::concurrent_skip_list<Price, PriceLevel> ask_levels;
    
    // Cache line aligned counters
    alignas(64) std::atomic<uint64_t> sequence_number{0};

public:
    Status processOrder(const Order& order) {
        // Get current sequence number
        uint64_t seq = sequence_number.fetch_add(1, std::memory_order_acq_rel);
        
        switch (order.type) {
            case OrderType::LIMIT:
                return processLimitOrder(order, seq);
            case OrderType::MARKET:
                return processMarketOrder(order, seq);
            case OrderType::CANCEL:
                return processCancelOrder(order, seq);
        }…