This research addresses the optimization of latency-critical code in high-frequency trading systems, introducing a Low-Latency Programming Repository, enhancing a statistical arbitrage pairs trading strategy, and implementing the Disruptor pattern in C++. The repository offers practical insights with rigorous benchmarking, while strategy optimization resulted in notable speed and profitability gains. The Disruptor pattern outperformed traditional queuing methods, emphasizing improved performance. Techniques like Cache Warming and Constexpr proved most effective in reducing latency. Future plans include repository expansion, live trading algorithm testing, and comprehensive system benchmarking with the Disruptor pattern integration. Aimed at academics and industry practitioners, this work aims to enhance performance in latency-sensitive applications.
https://arxiv.org/abs/2309.04259