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Packets, Transactions and Queues: Design Principles for HFT Systems from a Measurement Study of CME Market Data

Maciejewski, Vincent
arXiv (All) · Papers
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60g5590b22and-cluster-computingc-2-4c-4distributedparallelperformance
HFT systems are conventionally built as a single-threaded event loop, on the rule that every thread hop adds latency. We test that rule against a measurement study of more than a year of CME market data for the NQ front-month contract, following every packet and matching-engine transaction through t
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