3 ms·

Appreciate you describing this as a PoC because in reality it's impossible to do <5us tick to trade in software including risk, deal booking, drop copy and a to

Appreciate you describing this as a PoC because in reality it's impossible to do <5us tick to trade in software including risk, deal booking, drop copy and a tonne of other components that go into a real-life trading system. In fact, you can't guarantee 5us for anything, at least not on common operating systems. You would have to run your code with the interrupt flag cleared to prevent any IPIs or hrticks getting in the way. But that would be opening a scary can of worms.

onetimeuse92304 3y ago
> Appreciate you describing this as a PoC because in reality it's impossible to do <5us tick to trade in software including risk, deal booking, (...) Absolutely not true. I explained, risk is calculated concurrently and compiled to decision tree and then inserted in the path in the form of "if X happens do Y". The fact it was PoC has nothing to do with it, in fact it showed that yes, it is possible to do so. That's entire point of the PoC.
reisse 3y ago
It is absolutely possible, I've seen multiple such systems. > In fact, you can't guarantee 5us for anything, at least not on common operating systems. Oh yes you can, with a screen-sized kernel cmdline, some proper configuration, both hardware and software, and a bit of luck.
FridgeSeal 3y ago
> you can't guarantee 5us for anything, at least not on common operating systems I don’t doubt it, but from my reading of OP’s post, it sounds they were skipping most of the kernel and OS.
- onetimeuse92304 3y ago
  Yes. You really don't want your real time threads to have anything to do with the OS after startup sequence. Significant part of the project was learning about various ways a piece of code can be preempted. Once you get it done, it really is all really nice and predictable. And also a fire hazard because you have disabled things like SMI interrupts that are used by the CPU to figure out if it is overheating...
- bitcharmer 3y ago
  Every respectable HFT shop does that. What you can't do is achieve <5us execution latency at 100% percentile. You'd have to disable LAPIC interrupts for that which I doubt they did.
twic 3y ago
You don't do risk, deal booking, etc in between the tick and the trade. You do them afterwards. You do drop copy completely separately, that's the whole point of it.

onetimeuse92304 3y ago

> Appreciate you describing this as a PoC because in reality it's impossible to do <5us tick to trade in software including risk, deal booking, (...) Absolutely not true. I explained, risk is calculated concurrently and compiled to decision tree and then inserted in the path in the form of "if X happens do Y". The fact it was PoC has nothing to do with it, in fact it showed that yes, it is possible to do so. That's entire point of the PoC.

reisse 3y ago

It is absolutely possible, I've seen multiple such systems. > In fact, you can't guarantee 5us for anything, at least not on common operating systems. Oh yes you can, with a screen-sized kernel cmdline, some proper configuration, both hardware and software, and a bit of luck.

FridgeSeal 3y ago

> you can't guarantee 5us for anything, at least not on common operating systems I don’t doubt it, but from my reading of OP’s post, it sounds they were skipping most of the kernel and OS.

onetimeuse92304 3y ago
Yes. You really don't want your real time threads to have anything to do with the OS after startup sequence. Significant part of the project was learning about various ways a piece of code can be preempted. Once you get it done, it really is all really nice and predictable. And also a fire hazard because you have disabled things like SMI interrupts that are used by the CPU to figure out if it is overheating...
bitcharmer 3y ago
Every respectable HFT shop does that. What you can't do is achieve <5us execution latency at 100% percentile. You'd have to disable LAPIC interrupts for that which I doubt they did.

twic 3y ago

You don't do risk, deal booking, etc in between the tick and the trade. You do them afterwards. You do drop copy completely separately, that's the whole point of it.