hft-cpp-roadmap

HFT C++ Roadmap

A performance-oriented C++ repository documenting the path from standard systems programming to Low-Latency and High-Frequency Trading (HFT) architectures.

This project implements core components of a trading engine (Feed Handler, Order Book) enforcing strict memory management constraints typical of financial execution venues.

🚀 Key Architectural Concepts

• Zero-Copy Parsing: Implementation of a CSV Feed Handler using std::string_view and std::move semantics to minimize memory bandwidth usage during market data processing.
• Deterministic Memory Management: Strict adherence to RAII principles. Usage of std::vector::reserve and custom pre-allocation patterns to prevent heap allocations (malloc/free) on the critical path (Hot Path).
• Cache Locality: Data-Oriented Design (DOD) using contiguous memory layouts (POD Structs) for Order Book entries, maximizing L1/L2 cache hits.
• Type Safety without Overhead: Usage of explicit constructors and strong typing to prevent implicit conversion bugs at compile-time, with zero runtime cost.

🛠️ Components

1. Feed Handler (data_parser.cpp)

• Parses simulated market data (Tickers, Prices, Sizes).
• Optimization: Replaces standard std::string copies with move semantics, reducing parsing latency.
• Input: High-throughput CSV streams.

2. Order Book (order_book.cpp)

• Manages the state of Buy/Sell orders in memory.
• Optimization: Encapsulated logic with private memory management to guarantee capacity constraints (preventing unwanted resizing).

📚 Study References

• C++ Primer (5th Edition) - Stanley B. Lippman
• Computer Systems: A Programmer's Perspective (CS:APP) - Randal E. Bryant
• Operating Systems: Three Easy Pieces (OSTEP) - Remzi H. Arpaci-Dusseau

---