- Data structures that are contained within a single cache-line are more efficient.
- Use appropriate containers (e.g. prefer reserved std::vector than std::list)
- Organize your data to avoid alignment holes (sorting your struct members by decreasing size is one way)
- Don’t neglect the cache in data structure and algorithm design
- Use smaller data types
- Beware of the standard dynamic memory allocator, which may introduce holes and spread your data around in memory as it warms up
- Make sure all adjacent data is actually used in the hot loops. Otherwise, consider breaking up data structures into hot and cold components, so that the hot loops use hot data.
- Avoid algorithms and datastructures that exhibit irregular access patterns, and favor linear datastructures.
- Know and exploit the implicit structure of data
Ariel Silahian
http://www.sisSoftwareFactory.com/quant
https://twitter.com/sisSoftware
I help financial institutions architect high-frequency trading systems that are fast, stable, and profitable.
I have operated on both the Buy Side and Sell Side, spanning traditional asset classes and the fragmented, 24/7 world of Digital Assets.
I lead technical teams to optimize low-latency infrastructure and execution quality. I understand the friction between quantitative research and software engineering, and I know how to resolve it.
Core Competencies:
â–¬ Strategic Architecture: Aligning trading platforms with P&L objectives.
â–¬ Microstructure Analytics: Founder of VisualHFT; expert in L1/L2/LOB data visualization.
â–¬ System Governance: Establishing "Zero-Failover" protocols and compliant frameworks for regulated environments.
I am the author of the industry reference "C++ High Performance for Financial Systems".
Today, I advise leadership teams on how to turn their trading technology into a competitive advantage.
Key Expertise:
â–¬ Electronic Trading Architecture (Equities, FX, Derivatives, Crypto)
â–¬ Low Latency Strategy & C++ Optimization | .NET & C# ultra low latency environments.
â–¬ Execution Quality & Microstructure Analytics
If my profile fits what your team is working on, you can connect through the proper channel.
