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Developing High-Frequency Trading Systems

You're reading from  Developing High-Frequency Trading Systems

Product type Book
Published in Jun 2022
Publisher Packt
ISBN-13 9781803242811
Pages 320 pages
Edition 1st Edition
Languages
Authors (3):
Sebastien Donadio Sebastien Donadio
Profile icon Sebastien Donadio
Sourav Ghosh Sourav Ghosh
Profile icon Sourav Ghosh
Romain Rossier Romain Rossier
Profile icon Romain Rossier
View More author details

Table of Contents (16) Chapters

Preface 1. Part 1: Trading Strategies, Trading Systems, and Exchanges
2. Chapter 1: Fundamentals of a High-Frequency Trading System 3. Chapter 2: The Critical Components of a Trading System 4. Chapter 3: Understanding the Trading Exchange Dynamics 5. Part 2: How to Architect a High-Frequency Trading System
6. Chapter 4: HFT System Foundations – From Hardware to OS 7. Chapter 5: Networking in Motion 8. Chapter 6: HFT Optimization – Architecture and Operating System 9. Chapter 7: HFT Optimization – Logging, Performance, and Networking 10. Part 3: Implementation of a High-Frequency Trading System
11. Chapter 8: C++ – The Quest for Microsecond Latency 12. Chapter 9: Java and JVM for Low-Latency Systems 13. Chapter 10: Python – Interpreted but Open to High Performance 14. Chapter 11: High-Frequency FPGA and Crypto 15. Other Books You May Enjoy

Dynamic memory allocation

Allocation in the heap (or dynamic allocation) is common in programming. We need dynamic allocation for the flexibility to allocate at runtime. The operating system implements the dynamic memory management structures, algorithms, and routines. All dynamically allocated memory goes to the heap section of main memory. The OS maintains a few linked lists of memory blocks, primarily the free list to track contiguous blocks of free/unallocated memory and the allocated list to track blocks that have been allocated to the applications. On new memory allocation requests (malloc()/new), it traverses the free list to find a block free enough, then updates the free list (by removing that block) and adds it to the allocated list and then returns the memory block to the program. On memory deallocation requests (free()/delete), it removes the freed block from the allocated list and moves it back to the free list.

Runtime performance penalty

Let's recap the performance...

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