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Finance and trading
hft
high-frequency trading system
market maker
System
Techniques · 2
Primitives · 34
hft
Clock synchronization
distributed · medium: Estimate a clock's offset from four timestamps, filter out queueing noise, and steer the clock smoothly; NTP gets about a millisecond, PTP with hardware timestamps under a microsecond.
›
Market making inventory model
finance · medium: Quote skew and spread from inventory risk (Avellaneda-Stoikov style) for continuous two-sided quoting
Limit order book
finance · low: Per-symbol store of resting orders as FIFO queues per price level; array-indexed ticks plus intrusive lists give O(1) add, cancel and best-price lookup.
›
Pre-trade risk checks
finance · low: Constant-time gate in front of order entry that rejects fat-finger, over-limit and runaway orders using worst-case exposure counted over open orders.
›
Sequenced multicast feed
networking · low: Exchange order-by-order data as fixed binary messages in sequenced UDP multicast packets
False sharing
concurrency · low: Independent variables written by different cores on one cache line force the line to bounce between cores; pad or regroup hot data to fix it.
›
Memory ordering
concurrency · low: What Relaxed, Acquire, Release and SeqCst atomics actually guarantee, what they cost on x86 and ARM, and which one each pattern needs.
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Seqlock
concurrency · low: Readers copy shared data optimistically and retry if a sequence counter changed; zero reader writes, so reads scale perfectly with a single fast writer.
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SPSC ring buffer
data-structures · low: Bounded wait-free queue for exactly one producer and one consumer thread, built from an array and two indices with acquire/release ordering.
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FIX protocol (session layer)
finance · low: Tag=value order-entry protocol over TCP with per-direction sequence numbers, heartbeats and resend so sessions survive disconnects without losing or duplicating orders.
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Low-latency hot path
finance · low: Rules for microsecond trading paths: one pinned busy-polling thread per stage, no allocation, syscalls, locks or page faults after startup, kernel-bypass I/O, and measured tails.
›
Branch prediction
hardware-os · low: How CPUs guess branch outcomes, what a misprediction costs, and when to replace branches with conditional moves, masks or sorted data.
›
CPU caches and the memory hierarchy
hardware-os · low: Sizes, line widths and latencies of L1/L2/L3/DRAM on modern x86 and Apple M-series, and the data-layout rules that follow from them.
›
Cpu isolation and pinning
hardware-os · low: Isolcpus/nohz_full, thread affinity and IRQ steering for jitter-free hot threads
Fpga packet processing
hardware-os · low: FPGA/SmartNIC pipelines that parse packets and act in hardware for nanosecond tick-to-trade
Virtual memory and the TLB
hardware-os · low: How page tables and TLBs translate every address, what TLB reach means, and when 2 MiB or 1 GiB huge pages pay off on Linux.
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IP multicast
networking · low: Send each datagram once to a class D group address; the network copies it to every joined receiver, and sequence numbers let receivers find loss.
›
Kernel-bypass networking
networking · low: User space (DPDK, AF_XDP) or an in-driver eBPF hook (XDP) handles packets straight from NIC rings, skipping sockets, for 10-40 Mpps per core.
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+ 18 more primitives
System
Techniques · 2
Primitives · 34
hft
Clock synchronization
distributed · medium: Estimate a clock's offset from four timestamps, filter out queueing noise, and steer the clock smoothly; NTP gets about a millisecond, PTP with hardware timestamps under a microsecond.
›
Market making inventory model
finance · medium: Quote skew and spread from inventory risk (Avellaneda-Stoikov style) for continuous two-sided quoting
Limit order book
finance · low: Per-symbol store of resting orders as FIFO queues per price level; array-indexed ticks plus intrusive lists give O(1) add, cancel and best-price lookup.
›
Pre-trade risk checks
finance · low: Constant-time gate in front of order entry that rejects fat-finger, over-limit and runaway orders using worst-case exposure counted over open orders.
›
Sequenced multicast feed
networking · low: Exchange order-by-order data as fixed binary messages in sequenced UDP multicast packets
False sharing
concurrency · low: Independent variables written by different cores on one cache line force the line to bounce between cores; pad or regroup hot data to fix it.
›
Memory ordering
concurrency · low: What Relaxed, Acquire, Release and SeqCst atomics actually guarantee, what they cost on x86 and ARM, and which one each pattern needs.
›
Seqlock
concurrency · low: Readers copy shared data optimistically and retry if a sequence counter changed; zero reader writes, so reads scale perfectly with a single fast writer.
›
SPSC ring buffer
data-structures · low: Bounded wait-free queue for exactly one producer and one consumer thread, built from an array and two indices with acquire/release ordering.
›
FIX protocol (session layer)
finance · low: Tag=value order-entry protocol over TCP with per-direction sequence numbers, heartbeats and resend so sessions survive disconnects without losing or duplicating orders.
›
Low-latency hot path
finance · low: Rules for microsecond trading paths: one pinned busy-polling thread per stage, no allocation, syscalls, locks or page faults after startup, kernel-bypass I/O, and measured tails.
›
Branch prediction
hardware-os · low: How CPUs guess branch outcomes, what a misprediction costs, and when to replace branches with conditional moves, masks or sorted data.
›
CPU caches and the memory hierarchy
hardware-os · low: Sizes, line widths and latencies of L1/L2/L3/DRAM on modern x86 and Apple M-series, and the data-layout rules that follow from them.
›
Cpu isolation and pinning
hardware-os · low: Isolcpus/nohz_full, thread affinity and IRQ steering for jitter-free hot threads
Fpga packet processing
hardware-os · low: FPGA/SmartNIC pipelines that parse packets and act in hardware for nanosecond tick-to-trade
Virtual memory and the TLB
hardware-os · low: How page tables and TLBs translate every address, what TLB reach means, and when 2 MiB or 1 GiB huge pages pay off on Linux.
›
IP multicast
networking · low: Send each datagram once to a class D group address; the network copies it to every joined receiver, and sequence numbers let receivers find loss.
›
Kernel-bypass networking
networking · low: User space (DPDK, AF_XDP) or an in-driver eBPF hook (XDP) handles packets straight from NIC rings, skipping sockets, for 10-40 Mpps per core.
›
Zero-copy serialization
networking · low: Wire formats laid out like in-memory structs (FlatBuffers, Cap'n Proto, SBE, rkyv) so readers access fields in place with no decode pass or allocation.
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Arena allocator
systems · low: Allocate by bumping a pointer through big chunks and free everything at once: a few instructions per allocation for objects sharing a lifetime.
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PID controller
robotics · low: Drive a measured value to a setpoint with three terms on the error: proportional, integral, derivative. The default feedback loop for motors, heaters, drones and gimbals.
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Phase-locked loop (digital)
signal-processing · low: Feedback loop that locks a local oscillator to the phase and frequency of an input tone; the core of carrier recovery, clock recovery and GNSS tracking.
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Robust statistics
statistics · low: Location and scale estimates (median, MAD, trimmed mean, Huber M-estimator) that stay correct when a minority of the data is garbage.
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Message sequence numbers
distributed · low: A per-stream counter on every message lets the receiver detect loss, duplicates and reordering, ack cheaply and resume after reconnect with "send from N".
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Largest remainder rounding
finance · low: Splitting an amount into parts that sum exactly (largest remainder / Hamilton) for allocations, splits and prorations
Money representation
finance · low: Store money as integer minor units with an explicit currency exponent, compute in wider integers, and round once with a named rounding mode.
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CRC32C checksums
hardware-os · low: The Castagnoli CRC-32 with dedicated instructions on x86 (SSE4.2) and ARMv8. It is the standard fast integrity check for storage blocks, logs and network frames.
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fsync, O_DSYNC and O_DIRECT
hardware-os · low: What fsync, fdatasync, O_DSYNC, O_DIRECT and F_FULLFSYNC really guarantee on Linux and macOS, and the exact call sequences for crash-safe files.
›
Huge pages
hardware-os · low: 2 MB/1 GB pages to cut TLB misses; THP vs explicit hugetlbfs
Numa aware allocation
hardware-os · low: Allocate memory and pin threads on the local NUMA node; first-touch and interleave policies
SIMD programming
hardware-os · low: Process 4-16 lanes per instruction with AVX2, AVX-512 or NEON via Rust std::arch, with runtime dispatch and a portable fallback.
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Ebpf xdp
networking · low: EBPF programs at the XDP/tc hooks for in-kernel packet processing at line rate
Receive side scaling
networking · low: NIC hashing of flows to RX queues (RSS) and symmetric hashing for per-core processing
Write-ahead log
storage · low: Append each change to a checksummed sequential log and fsync it before touching data pages; the basis of crash durability in nearly every database.
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Slab allocator
systems · low: Pre-carve pages into equal-size slots per size class with an in-place free list: O(1) alloc and free, no external fragmentation, cache-warm reuse.
›
Token bucket
systems · low: A bucket of up to b tokens refilled at rate r; requests spend tokens, enforcing an average rate while allowing bursts of b.
›
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