[nickelpro]

On the software side I don't think HFT is as special a space as this paper makes it out to be.[1] Each year at cppcon there's another half-dozen talks going in depth on different elements of performance that cover more ground collectively than any single paper will.

Similarly, there's an immense amount of formal literature and textbooks out of the game development space that can be very useful to newcomers looking for structural approaches to high performance compute and IO loops. Games care a lot about local and network latency, the problem spaces aren't that far apart (and writing games is a very fun way to learn).

I don't have specific recommendations for holistic introductions to the field. I learn new techniques primarily through building things, watching conference talks, reading source code of other low latency projects, and discussion with coworkers.

[1]: HFT is quite special on the hardware side, which is discussed in the paper. The NICs, network stacks, and extensive integration of FPGAs do heavily differentiate the industry and I don't want to insinuate otherwise.

You will not find a lot of SystemVerilog programmers at a typical video game studio.

[Maxatar]

As someone who does quant trading professionally and game development as a hobby, they both are performance sensitive, but they emphasize different kinds of performance. Trading is about minimizing latency while video games are about maximizing bandwidth.

Video games try to cram as much work as possible within about 16 milliseconds whereas for most trading algorithms 16 milliseconds is too slow to do anything, you want to process and produce a response to input within the span of microseconds, which is 3 orders of magnitude faster than a single frame in a video game.

The problem spaces really are quite distinct in this respect and a lot of techniques from one space don't really carry over to the other.

[ssfrr]

I'm curious how HFT relates to pro audio programming. The timescale is close to gaming (usually <10ms for desktop PC work), but you really care about the tail of the distribution. All the audio processing happens in a high-priority callback that's called for every audio frame and needs complete within the time budget, so you typically never allocate, do IO, or use any blocking synchronization primitives [1].

It's not hard real-time like you're going to crash your car, but if you miss your deadline it causes an unacceptable and audible glitch.

I've always been a bit surprised that Jane Street uses OCaml. I know they've put a lot of attention into the GC, but it still seems fundamentally indeterminate in a way that would make most audio devs nervous.

[1]: http://www.rossbencina.com/code/real-time-audio-programming-...

[dintech]

Audio has a lot of buffering behaviour that you wouldn't generally see in event-reactive HFT. Think of all the plugins that you know of that have non-zero latency, compressors with 'lookahead' etc. There are maybe some similarities where the logic is more complex (loop unrolling, SIMD and so on) but I feel like plugins are generally optimizing for throughput (CPU usage) and quality (oversampling etc) rather than purely latency in most cases.

[ssfrr]

I guess the difference I'm interested in is whether HFT tends to be "realtime", in the sense that there's a hard deadline that you need to hit every time.

Put another way, audio is operating on a much longer timescale, but cares a lot about worst-case latency (as well as throughput and quality). Is that true of HFT also, or are they more concerned with average latency? If computing a trade takes too long, can they just discard it, or is it catastrophic to miss that deadline?

[hermitdev]

I can't go into too much detail (I currently work at an HFT, but not on the HFT bits), but some of the FPGAs make decisions without even seeing a entire packet coming in on the wire. Latencies are more often measured in nanos than micros from what I've seen lately.

[vineyardlabs]

Tangentially, how do you like working for an HFT? I'm a low level software / FPGA developer and have thought about going into the HFT space. Is the work life balance as terrible as people say?

[dintech]

Yes, there is a lot of effort to understand, for example, the 99th percentile tick-to-trade latency as well as the average latency. For a lot of those worst-case timings there are things that are occasionally out of your control like the kernel, the network, the hardware. Then there are things always in your control like how you implement your software.

Most HFT algos are busy-spinning. You'll see a core pinned at 100% as it checks for input availability over and over. The vast majority of the time it is actually doing nothing, from an external point of view. When that tick appears that it needs to react to, it springs into action. It might react to some input in the range of a few hundred nano seconds but for literally billions of nanoseconds it's doing nothing at all.

Audio is processing a buffer of data (usually whatever your audio interface buffer is set to), then waits patiently until the next buffer arrives. There's a regular pulse to it. If your CPU isn't hurting, there's way more time between those buffers than are required to process them. The order of magnitude between work and 'not work' for HFT is huge compared to audio generally. HFT logic is simple, small and fast. Audio is hopefully complex if you paid good money for it. The best way to go fast is to do almost nothing.

In terms of the impact of not meeting a particular deadline, it's an opportunity cost in HFT. In audio, you get audio dropouts if you can't process it fast enough. In HFT, if your reaction time is slow, you're not at the front of the queue for that juicy trading opportunity you and everyone else just spotted, then you miss it entirely and someone else gets the prize. HFT is all about making thousands of small statistically favourable bets and being able to execute on them fast enough to realise the opportunity before the next fastest guy.

[steve1977]

In audio, you can usually tolerate a few milliseconds of latency (more when mixing, less when recording). This means you can buffer your audio stream, for example in blocks of 64 or 128 samples.

As far as I know, these millisecond latencies are orders of magnitude higher than what would be tolerable in HFT. There the units are microseconds and nanoseconds.

[v1ne]

As somebody who has done both, there's certainly a lot of similarities in how you write software.

I'm talking about real-time audio, though. There's also just audio playback (Pro Tools, e.g.) which tolerates much higher latency, but enables higher audio fidelity due to larger buffer sizes (e.g. in compressors to enable look-ahead) as well as more clever algorithms (which are often prone to latency spikes, such as a "standard" FFT, if you want a very simple example).

Both, finance and real-time audio, differ in their time scales, but more in the breadth of their time scales: real-time audio is often between 1–50 ms (yeah, we try to keep it below 10 ms, but that's tough to do in a complex setup. I've seen artists often compromise and increase buffer sizes (== latency) to accommodate for their complex virtual instruments and filters), finance in ns–ms (it's not HFT anymore at a certain point, sure, but those HFT architectures also have a layered response, with FPGAs being quick but simple and more complex strategies having higher latency; also, if you're e.g. asked for a quote on a bond, it's not a shame to take 500 ms to think about a price, because those trades are bigger but slower).

You also mentioned the consequences of missing a deadline. Well, indeed, I've seen this variance to be less of an issue in finance (we're only caring about xx µs, so I hesitate to call myself a HFT guy) than in real-time audio. A click in a live set is a no-go. A crash of your DAW is fatal, that's it with your live set. Nobody dies, but people will be very upset. I've seen real-time audio being obsessed with being reliable and keeping the variance in latency really small.

In finance, I've seen it more that people kind of accepted that variance was huge because there's some hidden allocations in a system. Hoping that those stop once the system is warmed up or that they rarely occur on a critical trade. As a side note, in finance I've even heard this well-known HFT firm: "Well, it's not the end of the world if your process crashes. If you can restart quick enough."

It's also that in finance, your data is more heterogenous: Real-time audio has audio (isochronous, homogenous buffer of floats), MIDI (asynchronous, formerly small events), parameter changes (asynchronous, often just a float) and config changes (changes the topology of your audio processing graph; enjoy to transition from A to B without causing an audible glitch). Finance has processing graphs that only process asynchronous data (heterogenous market data, telling you what's on the order book of an exchange; trade data for which trades you performed with your orders and quotes; symbol data when new securities appear or change (historically only with the start of the trading day); pre-computed steering data for algorithms and/or data from third-party data sources).

Thus, the processing graphs of both differ in the data that's transferred as well as in the structure and domain. In finance, there is no regular tick-based processing. You have to accommodate a very varying amount of data per time period, whereas in audio, it's a very regular pace and the amount of data is often the same (± activations of voices in instruments).

Real-time audio has plugins, though. And those, from experience, do whatever you can imagine. Plugins are great, from a creative perspective, but the craftsmanship is of very varying degree. I bet I'll even find a plugin that draws the UI from the real-time audio thread.

Any other experiences from the real-time realm?

[nickelpro]

Of course, time spans are different. But read the paper, it's dealing with incredibly basic techniques. When we're speaking on the level of "data should be in cache" and "cold code should be far away from the hot path" the fields are practically identical.

You're entirely correct that quant work is dealing with pure latency in situations where game engines might amortize throughput over multiple frames. But a question about "how do I get started in performance/latency work?" isn't usefully answered by "get a Hudson River Trading internship".

[Maxatar]

On that point we certainly agree.

[atomicnumber3]

"which is 3 orders of magnitude faster than a single frame in a video game."

You're right on the money. I worked in HFT for half a decade.

Back in the late 2000s you were on the cutting edge if you were writing really good C++ and had overclocked some CPUs to hell and back and then shoved them in a rack in a datacenter in new jersey. "To hell and back" means "they only crash every hour or two" (because while they're up, they're faster than your competition).

Around the mid 2010's it had moved entirely to FPGAs. Do something smart in software, then give the FPGA something dumb to wait for (e.g. use software to produce a model and wait for some kind of alpha to develop, then tell the FPGA "ok wait for X > Y and fire the order" was basically the name of the game. And it was often better to be faster than it was to be smarter, so really you just kept the FPGA as simple and fast as possible.

At that point, your hard realtime constraints for the language doing the smart stuff really dissolve. Compared to an FPGA getting an order out the door in some fraction of a mic, a CPU doing anything is slow. So you might as well use python, yknow?

People also play all kinds of different speed games. There's latency races around NJ and chicago where microseconds matter around price movements and C++ isn't really part of the picture in a competitive way anymore, but that's not to say someone isn't ekeing out a niche where they're doing something vaguely smarter faster than opponents. But these things, at scale, tend to be questions of - either your alpha is very short-lived (microseconds, and if it isn't organically microseconds, it will be competed until it is), or it is fundamentally longer-lived (seconds to minutes?) and you might as well use python and develop 100x faster.

The silly thing is, the really good trades that focus on short-term alphas (ms's and less) are generally obviously good trades and so you don't have to be super smart to realize it's a really fucking good trade, you had better be fast and go get it. So there's also this kind of built-in bias for being fast because if a trade is so marginally good that you needed a crazy smart and slow model to tell it apart from a bad trade, it's probably still a relatively crummy trade and all your smarts let you do is pick up a few extra pennies for your trouble.

I'll close by saying don't take my words as representative of the industry - the trades my firm specialized in was literally a dying breed and my understanding is that most of the big crazy-crazy-fast-microwave-network people have moved to doing order execution anyway, because most of the money in the crazy-crazy-fast game dried up as more firms switched to either DIYing the order execution or paying a former-HFT to do it for them.

[mgaunard]

Even if the low-latency logic moves to the FPGA, you still need your slow path to be reasonably fast, say about 100us, and absolutely never more than 1ms.

To my knowledge Python is not suitable, though I know some players embed scripting languages that are.

[atomicnumber3]

It depends entirely on what you've got on the FPGA and what's slow-path. My firm had order entry done exclusively by the FPGA and the non-FPGA code would have orders in the FPGA for sometimes tens of seconds before they would fire. The non-FPGA code was still C++, but the kind of everyday C++ where nobody has been wringing all the water out of it for speed gains. If we rewrote it all, it'd probably be python. But that's just us. Every firm has their own architecture and spin on how this all works. I'm sure somebody out there has C++ code that still has to be fast to talk to an FPGA. We didn't - you were either FPGA-fast or we didn't care.

edit: also, fwiw, "say about 100us, and absolutely never more than 1ms." things measured in that many microseconds are effectively not what my firm considered "low-latency". But like I said, there are lots of different speed games out there, so there's no one-size-fits-all here.

[mgaunard]

Your hardware is configured by your software. You pre-arm transactions to be released when a trigger occurs.

Releasing the transaction when the trigger occurs is the fast path, and what the hardware does. The slow path is what actually decides what should be armed and with what trigger.

If your software is not keeping up with information coming in, either you let that happen and trigger on stale data, or you automatically invalidate stale triggers and therefore never trigger.

100us is short enough to keep up with most markets, though obviously not fast enough to be competitive in the trigger to release loop.

But it's mostly an interesting magnitude to consider when comparing technologies; Python can't really do that scale. In practice a well-designed system in C++ doesn't struggle at all to stay well below that figure.

[doovd]

> obviously good trades

Are you able to expand with any examples of this?

[mgaunard]

The idea for aggressive orders in HFT is to buy before the market goes up, and sell before the market goes down.

HFT signals are about detecting those patterns right before they occur, but as early as the information is available globally. For example someone just bought huge amounts of X, driving the price up, and you know Y is positively correlated to X, so Y will go up as well, so you buy it before it does.

X and Y might be fungible, correlated mechanically or statistically.

You can also do it on Y=X as well; then what you need is the ability to statistically tell whether a trade will initiate/continue a trend or revert. You only need to be right most of the time.

[HolyLampshade]

There are really two schools of approach to this.

On one hand you have quantitatively driven strategies that try to predict either a price or direction based on various inputs. Here you’re mostly focused on predictive accuracy, and the challenge is in exiting the trade at the right time. This is where a lot of the speed comes into play (what is your predictive horizon, and can you act fast enough to take advantage of the current market prices?).

The other mode of trading tends to focus on structural mispricing in the market. An easy to understand example is an intermarket arbitrage trade where one market’s buyer or seller crosses prices with the opposite side of the market on another exchange. These events permit a trader to swoop in a capture the delta between the two order prices (provided they can get to both markets in time).

As easy opportunity has dried up (markets have grown more efficient as systems have gotten faster, and parties understanding of the market structure has improved) you see some blending of the two styles (this is where another commenter was talking about mixing a traditionally computed alpha with some hardware solution to generate the order), but both come with different technical challenges and performance requirements.

[vinay_ys]

Isn't there challenges with slippage and managing the volumes while exiting? And isn't speed also about processing the data feed as fast as possible to time the exit decisions accurately?

[HolyLampshade]

Absolutely to both questions, with different answers depending on what style of strategy you’re running.

The market mechanics trades tend to have no recoverability if you miss the opportunity, so you’re often trading out in error and it’s a matter of trying to stem the loss on a position that you do not have an opinionated value signal on.

And there’s definitely an angle to inbound processing speed for both styles of trading, with differing levels of sensitivity depending on the time horizons you are attempting to predict or execute against. Using the example above again, detecting the arb opportunity and firing quickly is obviously paramount, but if you’re running a strategy where you have a 1 minute predictive time horizon sure, there’s some loss that can be associated with inefficiency if you aren’t moving quickly and someone else is firing at a similar signal, but generally speaking there’s enough differentiation in underlying alpha between you and any competitors that the sensitivity to absolute speed isn’t as prevalent as most people expect.

Basically it boils down to going fast enough to beat the competition, and if there isn’t any you have all the time in the world to make decisions and act on them.

[au8er]

If every other exchange is selling $AAPL at $100 and suddenly the top level of one exchange drops to $99, then if you just take out that order you basically gain a free dollar. Do this very fast and have pricing the product accurately and you will print tons of money.

[mgaunard]

It's not that simple. It could just be that exchange is the first one to drop to 99 but all others will as well.

[actionfromafar]

Yeah I gather that is the expectation, but if you are the first to execute an order you will sell that order at the old 100 price before it lowers. You are fighting for making an order before the information spreads to the other bots. (Right?!)

[mgaunard]

Latency isn't even as important in HFT as people claim. What's most important is deterministically staying into a reasonable enveloppe (even at the 99.9 percentile) to satisfy real-time requirements and not fall behind.

When it's really important, it's implemented in FPGA or with an ASIC.

[ssfrr]

This is close to the question I asked above, comparing to audio. If you're processing 32 samples at a time at 48kHz, you need to process a frame every 667us. If you only hit the deadline 99.9% of the time, that's a glitch more than once per second. You'd need a bunch more nines for an acceptable commercial product, so most audio devs just treat it as a hard realtime constraint.

I think the main split is whether you care more about average latency or worst-case latency (or some # of nines percentile).

[mgaunard]

In HFT you typically only measure latency for events that you did react on, not all events (at least, in the systems that I've built).

That's arguably a bit problematic as events you don't react to can cause you to fall behind, so it's useful to also track how far behind you are from the point where you start processing a packet (which requires hardware timestamping, unfortunately not present on many general-purpose NICs like what's in the cloud).

For a given market, you may have less than 1M samples a day (I've even seen some so-called HFT strategies or sub-strategies that only had 300 samples per day).

So overall, you'd have fewer events than 44.1kHz, and there are typically expected outliers at the beginning of the data before the system gets warmed up or recovers from bad initial parameters (which I suppose you could just ignore from your distribution, or you could try not to require a warmup).

But you're right, you probably want to look at quantiles closer to 1 as well. You're also looking at the max regardless.

[hawk_]

What other low latency projects in public domain are worth learning from?

[nickelpro]

Whatever is relevant to the domain you're tackling. How you structurally approach latency in a web server is different than a 3D renderer, which is different than an audio stack, etc. All of those domains have great open source or source available code to learn from, but it wouldn't be useful for me to say "go read HAProxy" if you're never going to touch an HTTP packet. When I'm tackling a problem the first thing I do is research everything everyone else has done on the problem and read their code, benchmark it if possible, and steal all the good ideas.

The basic principles never change. Avoid copies, never allocate, keep the hot path local, and really, good codebases should be doing these things anyway. I don't code any differently when I'm writing a command line argument parser vs low-latency RPC servers. It's just a matter of how long I spend tweaking and trying to improve a specific section of code, how willing I am to throw out an entire abstraction I've been working on for perf.

In the domain of web stuff, effectively all the major load balancers are good to study. HAProxy, nginx, Envoy. Also anything antirez has ever touched.

Application servers are also interesting to study because there's many tricks to learn from a piece of software that needs to interface with something very slow but otherwise wants to be completely transparent in the call graph. FastWSGI is a good example.