MOM+threading Unwelcome ] low latency@@

Piroz told me that trading IT job interviews tend to emphasize multi-threading and MOM. Some use SQL too. I now feel all of these are unwelcome in low latency trading.

A) MOM – see HFT mktData redistribution via MOM

B) threading – Single-Threaded-Mode is generally the fastest in theory and in practice. (I only have a small observed sample size.) I feel the fastest trading engines are STM. No shared mutable. Nsdq new platform (in java) is STM

MT is OK if they don’t compete for resources like CPU, I/O or locks. Compared to STM, most lockfree systems introduce latency like retries, and additional memory barrier. By default compiler optimization doesn’t need such memory barriers.

C) SQL – as stated elsewhere, flat files are much faster than relational DB. How about in-memory relational DB?

Rebus, the order book engine, is in-memory.

Advertisements

Leave a Reply

Fill in your details below or click an icon to log in:

WordPress.com Logo

You are commenting using your WordPress.com account. Log Out /  Change )

Google+ photo

You are commenting using your Google+ account. Log Out /  Change )

Twitter picture

You are commenting using your Twitter account. Log Out /  Change )

Facebook photo

You are commenting using your Facebook account. Log Out /  Change )

w

Connecting to %s