High Performance Programming / Quant Notes / p1153

Before the beeps and the boops, I have received a handful of DMs asking for discounted access. I have made one open for 1 week (60%):

https://www.research.hangukquant.com/d056649b

proceeding…

This week - we add to the quant trader handbook (now 1153 pages). We look at modern CPU topologies, explore concepts in synchronisation, lock-free programs and how memory barriers assert program behaviour. We look at cache-aware programming in high performance systems.

We then bring all of these tools together to discuss and implement fast inter-thread messaging protocol (disruptor pattern).

We ran our Google benchmarks, TLDR: it is fast fast, ~ 2000% faster than mutex-based queue and 300% faster than Boost’s lock-free queue.

Code is presented. By the way, we have been adding readers to the quantcplib repo. Since the last post, we added

• google benchmarks

• google tests

• examples

Tomorrow we will add the next batch to the repo. New modules will are pending. I’ll keep going, and you keep it coming!
Here are the notes: [1153]