High-Frequency Trading secret: Code with C++

Luiggi Trejo
2 min readFeb 23, 2023
Photo by CHUTTERSNAP on Unsplash

C++ is commonly used in high-frequency trading (HFT) for several reasons:

  • Speed: C++ is a high-performance language that can be compiled to machine code, which makes it very fast. In HFT, speed is critical because traders need to make decisions and execute trades in fractions of a second. C++ provides the performance needed to process large amounts of data quickly.
  • Low-level programming: C++ is a low-level programming language that provides direct access to hardware and memory, making it a suitable choice for developing low-latency software. In HFT, low latency is essential because even a small delay in processing time can result in a significant loss of profits.
  • Control over memory management: C++ provides the programmer with complete control over memory management, which allows for efficient memory usage and optimization. This is especially important in HFT, where large amounts of data need to be processed quickly and efficiently.
  • Large ecosystem of libraries: C++ has a large ecosystem of libraries and frameworks, many of which are optimized for high-performance computing. These libraries can be used to accelerate the development of HFT systems and provide access to advanced algorithms and data structures.
  • Compatibility with legacy systems: Many HFT systems were built using C++ in the past, and C++ remains a popular choice for building new systems due to its compatibility with existing codebases.

As you can see, my dear reader, C++ provides the performance, control, and flexibility needed to develop high-performance, low-latency trading systems, which is why it is a popular choice in HFT. Let´s review a quick example of this:

#include <iostream>
#include <chrono>
#include <random>

int main() {
// Generate a random number between 0 and 1
std::mt19937 gen(std::chrono::system_clock::now().time_since_epoch().count());
std::uniform_real_distribution<double> dist(0, 1);
double rand_num = dist(gen);

// Make a trading decision based on the random number
if (rand_num > 0.5) {
std::cout << "Buy!" << std::endl;
} else {
std::cout << "Sell!" << std::endl;
}

return 0;
}

In this example, we use the C++ standard library to generate a random number and make a trading decision based on that number. The mt19937 generator and uniform_real_distribution distribution are used to generate a random number between 0 and 1. We then use an if statement to make a trading decision based on whether the random number is greater than 0.5 or not. Finally, we use cout to output the decision to the console.

Of course, this is a very simple example, and real-world HFT systems are much more complex. However, it demonstrates how C++ can be used to quickly process data and make decisions in real time.

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