Revealing trade secrets in building an amazingly ultra fast REAL WORLD HFT system in Microsoft .NET C#, Mongo DB NOSQL, ZeroMQ, etc
After spending about 7-8 hours in the last few days on an amazingly fast demoed HFT capable system, I am easily impressed to mimic the technology chosen for it. The person who is a real world top level quant showed this to me but I am not going into great detail here. I need to really to thank him for this demo as it once again, prevents me from going down hundreds of rabbit holes I have gone down over the last two years. The Matlab Simulink model code generated DLL will still play an important role in what is being discussed below.
Here is the comparison between Visual C++ and .NET C#.
http://www.codeproject.com/Articles/212856/Head-to-head-benchmark-Csharp-vs-NET
I plan to use C# for the following logic with a solid in memory database and message queuing. The maintainability of C# is much easier than C++ but make sure you use the correct data type for collection for speed. Please do not engage on Java 7 with its latest headline news of insecurity where my confidence is pretty well shaken.
As this system is to deployed on to Windows, Redis does not offer any official support on Windows. Depsite Microsoft’s port, it does not seem to be production ready which is kind of too bad. Redis does have a nice pub sub model with clustering capabilities but after my counterproductive debacle in Linux, I find I really want to stick with WIndows.
Because there is no real Redis offering for Windows, I am going with MongoDB. Here are some decent tutorials in C#:
http://stackoverflow.com/questions/7272967/any-good-tutorials-for-the-offical-mongodb-c-sharp-driver
How to install MongoDB on Windows:
http://docs.mongodb.org/manual/tutorial/install-mongodb-on-windows/
The secret sauce in making this platform fast is your schema but I got that inside scoop for my Premium Membership.
I like CodeProject.com stuff.
Here is ZeroMQ is the choice of messaging libraries:
http://mikehadlow.blogspot.ca/2011/04/message-queue-shootout.html
http://serverfault.com/questions/80679/how-to-pick-between-rabbitmq-and-zeromq-or-something-else
http://stackoverflow.com/questions/7921324/performance-comparison-between-zeromq-rabbitmq-and-apache-qpid
http://www.zeromq.org/intro:get-the-software
As you can imagine, these tips are part of the inside scoop of REAL WORLD HFT system from the most experienced and intelligent quant I have seen. As a result, I will be following the above tips as of today to implement. Do note that is this works, I will for putting my QuantLabs.net Premium Membership at the high end considering all the source code being supplied both from this platform and future models/strategies.
In the end learn how I plan to implement this ultra fast HFT system.
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