Low Latency Trading Insights: Selected Essays on Performance Engineering for High Frequency Trading

In high-frequency trading, a cache miss costs thousands per hour. A mispredicted branch burns 15 cycles you'll never get back.From a 15-year HFT veteran and author of Low Latency Trading Insights on Substack, this book covers what production trading systems actually demand: CPU architecture, cache optimization, SIMD vectorization, lock-free data structures, and system call avoidance. Every chapter opens with a real incident—the $50,000 NVDA lesson, the lock-free order book that lost to a mutex, the memory pool that ate Chicago.What's Inside:Hardware FundamentalsCPU architecture that compilers can't optimize for youMemory hierarchy from SRAM cells to NUMA topologyCache behavior, prefetching strategies, and false sharingBranch prediction—and when branchless code winsCompiler MasteryWhy your "fast" code becomes slow after optimizationUndefined behavior as a performance tool (and its dangers)Link-time optimization and position-independent code trade-offsSIMD fundamentals, auto-vectorization, and practical patternsFloating-point performance: FMA, denormals, and when fixed-point failsConcurrencyMemory models that work (and memory_order_consume, which doesn't)Lock-free programming: when it helps, when it kills performanceSPSC queues achieving 18ns push/pop operationsWhy mutexes often beat "lock-free" in productionSystem-Level PerformanceSystem call overhead and the vDSOMemory allocation for microsecond latencyI/O patterns that don't block your hot pathNetwork programming for exchange connectivityCase StudiesHigh-performance parsing: SIMD techniques for market dataTrading systems architecture: order books, matching engines, feed handlersWho This Book Is For:C++ developers targeting HFT, game engines, or embedded systemsEngineers who need to understand what's happening beneath their codeAnyone preparing for quantitative trading developer interviewsEvery benchmark runs on Intel Xeon and AMD EPYC with numbers you can reproduce. No theory without measurement.Based on the author's popular Substack newsletter, refined through feedback from thousands of HFT professionals. Read more