Building Ultra-Low Latency Systems with Rust
A comprehensive guide to designing and implementing sub-microsecond latency trading systems using Rust and modern hardware
Building Ultra-Low Latency Systems with Rust
When building ultra-low latency trading systems, every nanosecond matters. Let's explore how Rust enables us to build systems with predictable sub-microsecond latencies.
The Latency Budget
In HFT, a typical latency budget might look like:
- Market data processing: 100-200ns
- Strategy execution: 200-300ns
- Order generation: 100-150ns
- Network transmission: 500-800ns
Total: Less than 1.5 microseconds from market data to order on the wire.
Zero-Cost Abstractions
Rust's zero-cost abstractions mean you can write high-level code that compiles to optimal machine code:
`rust
#[repr(C, packed)]
pub struct OrderMessage {
msg_type: u8,
order_id: u64,
symbol: u32,
price: i64,
quantity: i32,
side: u8,
}
impl OrderMessage {
#[inline(always)]
pub fn new(order_id: u64, symbol: u32, price: i64, quantity: i32, side: Side) -> Self {
Self {
msg_type: MSG_TYPE_ORDER,
order_id,
symbol,
price,
quantity,
side: side as u8,
}
}
}
`Memory Layout Matters
Cache-aligned structures eliminate false sharing:
`rust
#[repr(align(64))]
pub struct OrderBook {
bids: BidLadder,
_pad1: [u8; 64],
asks: AskLadder,
_pad2: [u8; 64],
last_update: AtomicU64,
}
`Lock-Free Programming
Using atomic operations for shared state:
`rust
use std::sync::atomic::{AtomicU64, Ordering};
pub struct SequenceNumber {
value: AtomicU64,
}
impl SequenceNumber {
pub fn next(&self) -> u64 {
self.value.fetch_add(1, Ordering::Relaxed)
}
}
`NUMA Considerations
Pin threads to specific CPU cores:
`rust
use core_affinity::{CoreId, set_for_current};
pub fn pin_to_core(core: usize) {
let core_ids = core_affinity::get_core_ids().unwrap();
set_for_current(core_ids[core]);
}
`Benchmarking
Always measure:
`rust
use std::time::Instant;
let start = Instant::now();
process_market_data(&update);
let elapsed = start.elapsed();
println!("Processing time: {}ns", elapsed.as_nanos());
`Coming Up
In future posts, we'll dive deeper into:
- DPDK integration for kernel bypass
- Custom memory allocators for zero-allocation paths
- FPGA acceleration strategies
- Real-world performance optimization case studies
Stay tuned for more deep dives into ultra-low latency systems!