Low-Latency Software

Logiciel basse latence : le CPU, les caches et la hiérarchie mémoire, mesurer la latence, C++ et Rust poussés à la limite, files sans verrou et réglage de Linux, protocoles des bourses, feed handlers, carnets d'ordres, passerelles et risque pré-trade, pour finir par un chemin tick-to-trade mesuré.

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The Machine

1 Where Latency Comes From 8 exercices corrigés
2 CPU Microarchitecture 8 exercices corrigés
3 Memory Hierarchy and Caches 8 exercices corrigés
4 Multi-Socket Machines and Interconnects 8 exercices corrigés
5 Measuring Latency 8 exercices corrigés

Languages at the Limit

6 C++ for Latency I: Memory 8 exercices corrigés
7 C++ for Latency II: Compile Time 8 exercices corrigés
8 C++ for Latency III: The Compiler 8 exercices corrigés
9 Rust for Low Latency 8 exercices corrigés
10 Managed and Functional Languages on the Desk 8 exercices corrigés
11 Lock-Free Programming 8 exercices corrigés
12 Queues, Ring Buffers and Shared Memory 8 exercices corrigés
13 Linux Tuning 8 exercices corrigés
14 Vector Instructions and Data-Parallel Code 8 exercices corrigés

Protocols and Clients

15 Protocols I: FIX 8 exercices corrigés
16 Protocols II: Binary Exchange Protocols 8 exercices corrigés
17 WebSocket, REST, TLS and JSON at Speed 8 exercices corrigés

The Trading System

18 The Feed Handler 8 exercices corrigés
19 The Order Book Builder 8 exercices corrigés
20 The Strategy Engine 8 exercices corrigés
21 Order Gateway and Order Management 8 exercices corrigés
22 Pre-Trade Risk and Kill Switches 8 exercices corrigés
23 Logging, Capture and Replay 8 exercices corrigés
24 Resilience 8 exercices corrigés
25 Testing and Deploying Low-Latency Systems 8 exercices corrigés
26 Build: Tick-to-Trade, Measured 8 exercices corrigés

26 chapitres — 26 en ligne pour l'instant, et d'autres publiés régulièrement. Le livre complet est déjà disponible en PDF gratuit à lire en ligne.