C++ Secret vendor and open source libraries potentially used for HFT environments thanks to this Barclays Bank presentation video

(Last Updated On: December 30, 2014)
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C++ Secret vendor and open source libraries potentially used for HFT environments thanks to this Barclays Bank presentation video
Please visit these helpful links with other videos which are part of these listings below:

Programming Language Lessons learning about Barclays HFT use cases including Java C++ Linux FPGA and Erlang

Barclays HFT uses with vendor panel including Solarflare and Corvil video: Decent Open source solutions?

Erlang from Barclays Bank Go Big video with weaknesses including potential RDMA open source solution

NOTES: My path of tech choices is very useful with C++/C backend with Matlab/Simulink trade idea generation into an analytics trading system. NOSQL still useful. These are all part of my Elite learning service.

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Stats on languages for HFT trading environment job wise:

C++ 70% of hft software 25 % java but heavy garbage collection tuning so it might be turn off to focus on that 5% to function programming languages

All Linux based

More hft going to fpga for enormous performance boost

Simulink never mentioned for c translation to vhdl but we are in right track

Maxeller was highlighted

Linux Jitter was mentioned:

He kept mentioning jitter in Linux is problem to get lowest latency, using Java with garbage collection does not help

C++ Libraries

http://tradexoft.wordpress.com/tag/lockfree/

QuantLib used for option pricing Greek analysis

QuantLib, the Greeks and other useful option-related values

Boost Math toolkit

http://www.boost.org/doc/libs/1_57_0/libs/math/doc/html/index.html

Here are some PDFs from this genius Barclays VP

CodeMesh presentation (live links included)

http://www.codemesh.io/codemesh2013/slides/richard-croucher.pdf

Low Latency 101

http://www.informatix-sol.com/docs/LowLatency101.pdf

TCPIP Bypass

http://www.informatix-sol.com/docs/TCP_bypass.pdf

Example for raw Ethernet network programming

http://stackoverflow.com/questions/16009347/trouble-with-implementing-a-c-program-that-sends-and-receives-raw-ethernet-frame

OpenOnLoad Ef_vi

http://www.openonload.org/download/openonload-201210-u2-ChangeLog.txt

RDMA description

http://en.m.wikipedia.org/wiki/Remote_direct_memory_access

Intel C compiler optimization (best C compiler)

https://software.intel.com/en-us/articles/step-by-step-optimizing-with-intel-c-compiler

Intel Xeon Optimazation Tuning

https://software.intel.com/en-us/articles/optimization-and-performance-tuning-for-intel-xeon-phi-coprocessors-part-1-optimization

Big page and memory optimization

https://access.redhat.com/documentation/en-US/Red_Hat_Enterprise_Linux/5/html/Tuning_and_Optimizing_Red_Hat_Enterprise_Linux_for_Oracle_9i_and_10g_Databases/chap-Oracle_9i_and_10g_Tuning_Guide-Large_Memory_Optimization_Big_Pages_and_Huge_Pages.html

Linux RDMA Verbs API Tutorials

http://fabbritech.blogspot.ca/2012/07/linux-rdma-verbs-api-tutorials.html

GPU Accelerated Computing with C and C++ (only pricing options Greek analysis via Monte Carlo simulation)

https://developer.nvidia.com/how-to-cuda-c-cpp

Assist with GPU CUDA for onloading data and program to GPU from CPU

http://www.xcelerit.com/

Maxeler for FPGA  options to vhdl (where does MATLAB’s Simulink fall in her due to code generation to C C++ or VHDL)

https://www.maxeler.com/

Continues below:

Other topics from:

Low Latency 101

http://www.informatix-sol.com/docs/LowLatency101.pdf

Linux Kernal of choice potentially: https://www.kernel.org/pub/linux/kernel/projects/rt/

Personally saw big latency wins when I moved from RH 5.3 using 2.6.18 to a
2.6.27 kernel
Also refer to stack diagram on pg 23 and more lessons learned there
TCP Bypass
http://www.informatix-sol.com/docs/TCP_bypass.pdf
p 28
Application Programming with OFED
Highest performance, sometimes referred to as RAW is to use the Verbs
provided by the hardware
p35
High cost to establish but then very high B/W at low CPU overhead e.g.
2GB transfer takes a single ‘C’ call
More from a fellow Skype user:
http://stackoverflow.com/questions/14925568/lowering-linux-kernel-timer-frequency
https://rt.wiki.kernel.org/index.php/Main_Page

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About caustic

Hi i there My name is Bryan Downing. I am part of a company called QuantLabs.Net This is specifically a company with a high profile blog about technology, trading, financial, investment, quant, etc. It posts things on how to do job interviews with large companies like Morgan Stanley, Bloomberg, Citibank, and IBM. It also posts different unique tips and tricks on Java, C++, or C programming. It posts about different techniques in learning about Matlab and building models or strategies. There is a lot here if you are into venturing into the financial world like quant or technical analysis. It also discusses the future generation of trading and programming Specialties: C++, Java, C#, Matlab, quant, models, strategies, technical analysis, linux, windows P.S. I have been known to be the worst typist. Do not be offended by it as I like to bang stuff out and put priorty of what I do over typing. Maybe one day I can get a full time copy editor to help out. Do note I prefer videos as they are much easier to produce so check out my many video at youtube.com/quantlabs