4 ms·

>which is what 99.9% of people use Maybe we have different ideas about what constitutes "low-latency" but in HFT std::deque is rarely used. Much like std::unor

>which is what 99.9% of people use Maybe we have different ideas about what constitutes "low-latency" but in HFT std::deque is rarely used. Much like std::unordered_map, which allocates every insert potentially costing up to a microsecond for each insert. >It's just a segmented vector. https://gcc.gnu.org/onlinedocs/libstdc++/libstdc++-html-USERS-4.3/a02018.html https://gcc.gnu.org/onlinedocs/libstdc++/libstdc++-html-USER... we can look at the source. This "segmented vector" is `_Tp** _M_map`, essentially a vector of vectors. This means potentially twice the pointer-chasing, as we have to do two lookups. It also means allocation/deallocation each time a new segment is added/destroyed, which leads to more allocation than when using a vector (first need to allocate the segment, then potentially allocate entries within that). >A ring buffer is a completely different data structure, it only works for fixed-capacity queues. Where possible it's better to use a fixed capacity queue, especially one where the capacity is a power of 2 so wrap-around calculation can be done more efficiently. But the same kind of thing can be done for a dynamic-capacity queue, by resizing the whole backing array when capacity is reached.

dan-robertson 5y ago
HFT needn’t mean low latency is required but of course the two tend to be related. If trivial allocations might cost you a microsecond then you can’t allocate at all on a latency-sensitive critical path and should probably get a better allocator. Also, be wary of power-of-two sized things because if they are aligned they are likely to have poor cache performance (too many things compete for the same set of cache lines).
mgaunard 5y ago
I've worked in many HFT shops and that's not my experience. A lot of those firms have poor C++ code though, but std::deque was typically used in the better ones. It's not one allocation per element, as said previously it's a segmented vector. It works similarly to virtual memory: fixed-size segments are allocated for contiguous storage, while another parent array points to the segments. So appending/prepending either needs to append/prepend to the last/first segment or to allocate a new segment if full, which is what makes those operations more efficient than on a vector. Yes there is indirection, that's what segmented means. You also get stability of the memory location which is important for many data structures. The article even tells you how big the segments are in the two implementations being looked at. Going back to HFT, a similar data structure that's definitely heavily used there is a pool, which has a configurable segment size (potentially variable) and doesn't have order, enabling faster deallocation with a freelist.
- monocasa 5y ago
  I thought a resizable ring buffer was a valid implementation, but maybe I'm thinking of Rust's VecDeque and there's something about the semantics of std::deque that doesn't allow that.
  - kadoban 5y ago
    I don't think insert at front/back is allowed an amortized bound, it has to be flat constant. But then I don't see how libc++'s is conforming if this article is true, so I'm not entirely sure what's going on there.
  - mgaunard 5y ago
    How could you make any operation O(1) with resizing?
    - monocasa 5y ago
      Amortized O(1)
      - mgaunard 5y ago
        Amortized O(1) does not satisfy the specified requirements.
        monocasa 5y ago
        Oh, ok, it used to be amortized constant O(1), but changed at some point apparently. https://web.archive.org/web/20150310134852/https://en.cppreference.com/w/cpp/container/deque https://web.archive.org/web/20150310134852/https://en.cppref...
        mgaunard 5y ago
        That's an error that this website did. It's not an authoritative source. It's always been non-amortized since 1998.
CoolGuySteve 5y ago
Most STL data structures take an allocator template argument. If you fight the compiler enough to make your own std::allocator with preallocation then the STL is actually pretty nice.

dan-robertson 5y ago

HFT needn’t mean low latency is required but of course the two tend to be related. If trivial allocations might cost you a microsecond then you can’t allocate at all on a latency-sensitive critical path and should probably get a better allocator. Also, be wary of power-of-two sized things because if they are aligned they are likely to have poor cache performance (too many things compete for the same set of cache lines).

mgaunard 5y ago

I've worked in many HFT shops and that's not my experience. A lot of those firms have poor C++ code though, but std::deque was typically used in the better ones. It's not one allocation per element, as said previously it's a segmented vector. It works similarly to virtual memory: fixed-size segments are allocated for contiguous storage, while another parent array points to the segments. So appending/prepending either needs to append/prepend to the last/first segment or to allocate a new segment if full, which is what makes those operations more efficient than on a vector. Yes there is indirection, that's what segmented means. You also get stability of the memory location which is important for many data structures. The article even tells you how big the segments are in the two implementations being looked at. Going back to HFT, a similar data structure that's definitely heavily used there is a pool, which has a configurable segment size (potentially variable) and doesn't have order, enabling faster deallocation with a freelist.

monocasa 5y ago
I thought a resizable ring buffer was a valid implementation, but maybe I'm thinking of Rust's VecDeque and there's something about the semantics of std::deque that doesn't allow that.
- kadoban 5y ago
  I don't think insert at front/back is allowed an amortized bound, it has to be flat constant. But then I don't see how libc++'s is conforming if this article is true, so I'm not entirely sure what's going on there.
- mgaunard 5y ago
  How could you make any operation O(1) with resizing?
  - monocasa 5y ago
    Amortized O(1)
    - mgaunard 5y ago
      Amortized O(1) does not satisfy the specified requirements.
      - monocasa 5y ago
        Oh, ok, it used to be amortized constant O(1), but changed at some point apparently. https://web.archive.org/web/20150310134852/https://en.cppreference.com/w/cpp/container/deque https://web.archive.org/web/20150310134852/https://en.cppref...
        mgaunard 5y ago
        That's an error that this website did. It's not an authoritative source. It's always been non-amortized since 1998.

CoolGuySteve 5y ago

Most STL data structures take an allocator template argument. If you fight the compiler enough to make your own std::allocator with preallocation then the STL is actually pretty nice.