High-Frequency Trading (HFT) System Design
LMAX Disruptor Architecture Paper & “Mechanical Sympathy”
Section titled “LMAX Disruptor Architecture Paper & “Mechanical Sympathy””A design philosophy coined by Martin Thompson, popularized by the open-source LMAX Disruptor pattern. It teaches “Mechanical Sympathy”—designing software that works with the underlying hardware instead of against it. It walks through how to eliminate false sharing, avoid CPU cache misses, and structure your market data order book to keep data local in the L1/L2 cache.
QuantStart & Mark Joshi’s Quantitative Finance Material
Section titled “QuantStart & Mark Joshi’s Quantitative Finance Material”Deep-dive reference books and online architectural breakdowns focusing on financial engine construction. It bridges the gap between pure math/AI and C++ systems. It explains the end-to-end architecture of a trading system: Market Data Feed Handler Order Book Construction Alpha Engine Risk Manager Order Router.