Rust HFT Engine

A deterministic, lock-free, ultra-low-latency trading engine written in Rust. Designed for microsecond-level decision making, reproducible market replay, and precise latency measurement.

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Design Philosophy

This project is built around HFT engineering principles, not retail trading patterns:

• Deterministic execution over throughput
• Zero heap allocation in hot paths
• Lock-free communication
• Thread-per-core architecture
• Explicit latency measurement
• Crash-only, fail-fast design

No async runtime. No hidden allocations. No unpredictable schedulers.

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Architecture Overview

CPU 0 ─ Market Data (UDP)
          │
          ▼
CPU 1 ─ Strategy Engine
          │
          ▼
CPU 2 ─ Risk Controls
          │
          ▼
CPU 3 ─ Order Gateway

• One thread per responsibility
• CPU pinned
• SPSC lock-free queues between stages

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Components

Component	Description
market_data	Zero-copy UDP multicast feed handler
order_book	Fixed-depth L2 order book (no heap)
strategy	Pure, allocation-free decision logic
risk	Pre-trade risk & kill switch
gateway	Binary order entry
replay	Deterministic market replay engine
metrics	rdtsc-based latency profiler
core::spsc	Lock-free ring buffers

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Key Technical Decisions

No Async Runtime

Async runtimes introduce:

• Scheduler jitter
• Hidden allocations
• Unpredictable wakeups

This engine uses synchronous busy-polling loops for deterministic latency.

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Lock-Free Data Flow

• Single-Producer / Single-Consumer queues
• No mutexes in hot paths
• Cache-line padded atomics

MarketData → SPSC → Strategy → SPSC → Risk → SPSC → Gateway

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Explicit Latency Measurement

• CPU timestamp counter (rdtsc)
• Per-stage latency tracking
• Tail-latency aware (p99+)

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Performance Targets

Stage	Target
Market data parse	< 200 ns
Order book update	< 100 ns
Strategy decision	< 50 ns
Risk checks	< 50 ns
Tick → order	< 1 µs

Actual numbers depend on CPU, NIC, and kernel tuning.

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Build & Run

Requirements

• Rust 1.92.0
• CPU frequency scaling disabled

Build

RUSTFLAGS="-C target-cpu=native" cargo build --release

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Risk Controls

• Max position limits
• Order rate throttling
• Fat-finger protection
• Global kill switch
• Drop-copy logging (off hot path)

No order leaves the system without passing risk checks.

Roadmap

• Multi-instrument order books
• Exchange binary protocol support
• NUMA-aware memory layout
• Strategy hot-reload
• Kernel-bypass experiments (DPDK)

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Disclaimer

This project is for educational and research purposes only. It does not connect to real exchanges and should not be used for live trading.