Ariel Silahian
Ariel Silahian is a senior technology executive in institutional electronic trading, with 30+ years across the buy and sell side (New York, Miami, London, Hong Kong). He is the author of "C++ High Performance for Financial Systems" (Packt) and the creator of VisualHFT, the open-source microstructure analytics stack. He writes on exchange architecture, market microstructure, and execution quality, and advises a select number of trading firms on infrastructure decisions that move P&L. Talk architecture: https://hftadvisory.com
- 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
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Subscribe by EmailAriel Silahian is a senior technology executive in institutional electronic trading, with 30+ years across the buy and sell side (New York, Miami, London, Hong Kong). He is the author of "C++ High Performance for Financial Systems" (Packt) and the creator of VisualHFT, the open-source microstructure analytics stack. He writes on exchange architecture, market microstructure, and execution quality, and advises a select number of trading firms on infrastructure decisions that move P&L. Talk architecture: https://hftadvisory.com
