Joined January 2010
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Electronic Trading Architect | Strategic Advisor retweeted
Jun 11
a senior engineer at Citadel Securities on why C still dominates in trading:
"C lets us control space and time."
"space, where objects are laid out, in what order, how much space they take. time, no GC pauses, how long things take."
"control over space and time means making the trade."
he explains why every major quant firm still uses it:
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Electronic Trading Architect | Strategic Advisor retweeted
i keep this paper close. always.
2007. numbers shift. mental model: permanent.
Drepper: CPU isn't the bottleneck - memory is.
L1→4 · L2→12 · L3→40 · DRAM→200 cycles
the programmer who internalized this writes different data structures. Agree?
#hft #lowlatency #tradingtech
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A risk gate can pass every compliance audit and still clear orders past the real position limit.
The mechanism: it checks a position from 3 fills ago.
How the two-copy problem manifests, how you find it in fill data, and what actually fixes it:
#hft #marketmicrostructure
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The sequencer makes the problem observable.
Gate tracks: applied sequence vs published high-water mark. That gap is staleness.
When gap exceeds the budget: gate refuses. Not "maybe okay." Refuses.
Blocked orders are recoverable. An overrun past a real limit isn't.
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The test: replay your fastest session of the past year.
Max divergence between the gate's applied sequence and the OMS's at each approval.
If 0 -- you're covered.
If not 0 -- that's your exposure window.
Worth knowing before the next fast market.
electronictradinghub.com/pre… #hft
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RT @quant_arb: This is a great read for active HFT researchers and breaks down research steps I use regularly in my own processes
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a matching engine can pass every functional test your QA team
designs and still be non-deterministic.
most teams find out during a live incident, not in staging.
5 decisions separate engines that recover in minutes from ones
that take 10 hours. a thread:
#hft #matchingengine #exchanges
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determinism is a compliance property.
FINRA fined Citadel $1M in October 2024 for 31.2B CAT errors.
a code error, separate from the engine. but regulators require
reconstructability either way.
two replays, two queue orderings = plausible account, not the account.
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the standard: replay yesterday's journal → identical EOD state.
can't demonstrate that in staging? you don't know your recovery window.
run the test. what broke at which boundary is the comment worth seeing.
all 5 decisions: electronictradinghub.com/mat…
#hft #electronictrading #exchanges
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Four firms have published enough about their AI agent architectures that the shape is now legible to anyone reading carefully.
electronictradinghub.com/the…
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