Trading Algorithm Core
An ultra-low latency trading execution engine written in Rust and C++ capable of sub-microsecond transactions.
The Challenge
In high-frequency trading (HFT), milliseconds are eternities. Our client, a quantitative hedge fund, was operating an execution engine written in Java and Python. While great for rapid algorithm prototyping, garbage collection pauses and interpreter overhead were costing them millions in missed arbitrage opportunities.
They needed an execution core that could process incoming market data, evaluate complex trading algorithms, and execute orders faster than their competitors—consistently, with zero latency spikes.
Engineering the Solution
We completely rewrote the trading execution path from the ground up, moving from high-level interpreted languages to bare-metal performance.
Rust & C++ Synergy
We chose a hybrid architecture. The core networking and order execution layers were written in C++ to leverage existing, highly optimized financial API libraries. The risk management and algorithm evaluation engines were written in Rust.
Rust’s strict ownership model and fearless concurrency allowed us to process massive streams of market data across 64 cores simultaneously without locks or data races, achieving massive throughput without the typical segmentation faults associated with C++.
Kernel Bypass Networking
Traditional operating system network stacks are too slow for HFT. We implemented kernel bypass networking using DPDK (Data Plane Development Kit). This allowed our application to poll the network interface card (NIC) directly from user space, completely bypassing the Linux kernel overhead, interrupts, and context switches.
FPGA Hardware Acceleration
For the most latency-sensitive arbitrage algorithms, software alone wasn’t fast enough. We moved the order book parsing logic directly onto FPGAs (Field Programmable Gate Arrays) residing on the network cards. The hardware now parses FIX messages and triggers orders in nanoseconds, before the data even reaches the CPU.
The Result
The new execution engine reduced median trade latency from 1.2 milliseconds to 850 nanoseconds—a 1400x improvement. The system currently handles over $2 Billion in daily trading volume with 100% reliability and zero garbage collection pauses.
