High-Frequency Trading (HFT) architecture

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High-Frequency Trading System – Complete Architecture

Project Type: Ultra-Low Latency Trading Platform

📋 Table of Contents

System Overview

Purpose

Ultra-low latency trading platform for high-frequency trading strategies including market making, statistical arbitrage, and cross-exchange arbitrage.

Key Features • Sub-microsecond tick-to-trade latency (FPGA) • Real-time order book maintenance • Multi-strategy execution engine • Pre-trade risk management • Full audit trail and compliance

Performance Targets

| Component | Latency Target |
|-----------|----------------|
| FPGA tick-to-decision | <900ns |
| FPGA tick-to-trade | <1µs |
| CPU tick-to-trade | 5-50µs |
| Order book update | <500ns |

C4 Model Architecture

Level 1: System Context

System Actors
👤 Traders – Configure trading strategies – Monitor real-time performance – Adjust risk parameters👤 Compliance Officers – Audit trade history – Ensure regulatory compliance – Generate reports

System Interactions

Level 2: Container Diagram

Container Overview

ContainerTechnologyPurposeDeployment
Market Data IngestionRust/Go, DPDKReceive & decode feedsEC2 c7gn.metal
Order Book ServiceRust/JavaMaintain order bookEC2 c7gn.metal
CPU Trading EngineRust/Java/PythonExecute strategiesEC2 c7g
FPGA Trading EngineVerilog/VHDL/ChiselUltra-low latencyAWS F1
Smart Order RouterRust/JavaRoute orders, risk checksEC2 c7gn.metal
OMS DatabasePostgreSQL/TimescaleDBOrder trackingAurora
Event LogKafka/ChronicleExecution logsMSK + S3
MonitoringPrometheus/GrafanaMetrics & alertsEC2

Level 3: Component Diagrams

Performance Characteristics

  • Latency: <1µs per message
  • Throughput: 10M+ messages/sec
  • CPU cores: 4-8 dedicated

3.2 Order Book Service

Performance Characteristics

  • Update latency: <500ns
  • Memory: 2-8GB per symbol
  • Replication: Active-active with Aeron

3.3 CPU Trading Engine

Purpose: Execute trading strategies with 5-50µs latency

Strategy Parameters

market_making:  spread_bps: 5  max_position: 10000  inventory_skew: truestat_arb:  lookback_period: 60s  z_score_threshold: 2.0  max_pairs: 50

3.4 FPGA Trading Engine

Purpose: Ultra-low latency arbitrage and quoting (<1µs)

Components

FPGA Design Flow

  1. Define strategy in Chisel/Verilog
  2. Simulate with test vectors
  3. Synthesize with Vivado
  4. Place & route
  5. Generate bitstream
  6. Deploy to AWS F1
  7. Integrate with host software

Performance

  • Tick-to-decision: <900ns
  • Tick-to-trade: <2µs
  • Clock frequency: 250MHz

3.5 Smart Order Router

Purpose: Route orders to venues with pre-trade risk checks

Risk Limits Example

risk_limits:  max_position_per_symbol: 50000  max_gross_exposure: 10000000  max_net_exposure: 5000000  max_order_size: 10000  max_orders_per_second: 1000

Level 4: Code Diagram

Order Book Engine – Class Structure

Technology Stack

Programming Languages

ComponentPrimaryAlternativeRationale
Market Data IngestionRustGoZero-copy, DPDK support
Order BookRustJavaLock-free, cache-friendly
Trading EngineRust/JavaPython (research)Performance + ecosystem
FPGAVerilog/VHDLChiselHardware control
Smart Order RouterRustJava (QuickFIX)Performance + FIX support

Infrastructure

LayerTechnologyPurpose
ComputeEC2 c7gn.metal, F1Bare metal, FPGA
DatabaseAurora PostgreSQL, TimescaleDBACID, time-series
MessagingKafka (MSK), Aeron, ChronicleDurable logs, low-latency
StorageEBS io2, S3Snapshots, archives
MonitoringPrometheus, GrafanaMetrics, dashboards
NetworkingEnhanced Networking, SR-IOVLow latency

Key Libraries

Rust: – tokio – Async runtime – crossbeam – Lock-free data structures – aeron-rs – Low-latency messaging – dpdk-rs – DPDK bindings

Java: – Chronicle Queue – Ultra-low latency queue – Aeron – Low-latency messaging – QuickFIX/J – FIX protocol – Agrona – High-performance primitives

FPGA: – Vivado – Synthesis toolchain – Chisel – Hardware construction language

AWS Deployment

Compute Resources

Market Data Ingestion

Instance: c7gn.metalvCPUs: 64Memory: 128 GBNetwork: 200 GbpsFeatures:  - Enhanced Networking  - SR-IOV  - Placement Group

Order Book Cluster

Instance: c7gn.metal (2x for HA)Placement: Cluster placement groupReplication: Aeron multicastStorage: EBS io2 (snapshots)

CPU Trading Engine

Instance: c7g.8xlarge (Graviton3)vCPUs: 32Memory: 64 GBCount: 2-4 instances

FPGA Trading Engine

Instance: f1.2xlargeFPGAs: 1x Xilinx Virtex UltraScale+Memory: 122 GBNetwork: 10 Gbps

Smart Order Router

Instance: c7gn.metalDirect Connect: 10 Gbps to co-locationRedundancy: Active-active

Database & Storage

Aurora PostgreSQL

Instance: db.r6g.4xlargeStorage: 1 TBReplicas: 2 read replicasBackup: Daily snapshots

Kafka (MSK)

Brokers: 3x kafka.m5.2xlargeStorage: 2 TB per brokerRetention: 7 daysReplication: 3x

S3 Archive

Bucket: hft-execution-logsStorage Class: S3 Standard → Glacier (90 days)Versioning: EnabledEncryption: AES-256

Networking

VPC Configuration

VPC CIDR: 10.0.0.0/16Subnets:  - Trading: 10.0.1.0/24 (private)  - Database: 10.0.2.0/24 (private)  - Monitoring: 10.0.3.0/24 (private)  - NAT: 10.0.100.0/24 (public)

Direct Connect

Connection: 10 GbpsLocation: Equinix NY4VLAN: DedicatedBGP: Private VIF

Performance Optimization

Network Tuning

Kernel Parameters

# Disable IRQ balancesystemctl stop irqbalance
# CPU isolationisolcpus=2-15 nohz_full=2-15 rcu_nocbs=2-15
# Huge pagesvm.nr_hugepages=4096# Network buffersnet.core.rmem_max=134217728net.core.wmem_max=134217728

DPDK Configuration

# Bind NIC to DPDKdpdk-devbind.py --bind=vfio-pci 0000:00:05.0
# CPU affinitytaskset -c 2-5 ./market_data_ingestion

CPU Optimization

Thread Pinning

use core_affinity;// Pin to specific corelet core_ids = core_affinity::get_core_ids().unwrap();core_affinity::set_for_current(core_ids[2]);

Memory Allocation

// Pre-allocate bufferslet mut buffer_pool = Vec::with_capacity(10000);for _ in 0..10000 {    buffer_pool.push(vec![0u8; 1500]);}// Use bump allocator for hot pathuse bumpalo::Bump;let arena = Bump::new();

Latency Monitoring

Key Metrics

metrics:  - tick_to_trade_latency_us  - order_book_update_latency_ns  - strategy_execution_latency_us  - order_routing_latency_us  - exchange_roundtrip_latency_uspercentiles: [p50, p95, p99, p99.9, max]

Grafana Dashboard Panels

  • Latency heatmap (tick-to-trade)
  • Order book depth visualization
  • Strategy PnL real-time
  • Risk limit utilization
  • System resource usage (CPU, memory, network)
  • Error rates and alerts References

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