High-Frequency Trading (HFT) Development in C++ or Rust - Expanded Project Guides

Generated from: HIGH_FREQUENCY_TRADING_CPP_RUST_LEARNING_PROJECTS.md

Overview

Master the art of high-frequency trading system development through hands-on projects that force you to understand performance at the deepest levels: CPU cache lines, memory allocation, lock-free programming, network latency, and systems architecture.

This collection takes you from building fundamental components (order books, lock-free queues) to creating a complete trading ecosystem. Each project builds on the previous, teaching you the skills that separate hobby programmers from HFT engineers.

HFT System Architecture
┌─────────────────────────────────────────────────────────────────────┐
│                        TRADING SYSTEM                                │
│  ┌──────────────┐    ┌──────────────┐    ┌──────────────┐          │
│  │ Market Data  │───►│   Strategy   │───►│   Gateway    │          │
│  │   Handler    │    │   Engine     │    │  (Orders)    │          │
│  │  (P2: Lock-  │    │  (P4: Back-  │    │              │          │
│  │   free Q)    │    │   tester)    │    │              │          │
│  └──────────────┘    └──────────────┘    └──────────────┘          │
│         ▲                   │                   │                   │
│         │                   ▼                   ▼                   │
│  ┌──────────────┐    ┌──────────────┐    ┌──────────────┐          │
│  │  Exchange    │◄───│    Risk      │◄───│   Order      │          │
│  │  Simulator   │    │   Manager    │    │    Book      │          │
│  │  (P3: Match  │    │              │    │   (P1)       │          │
│  │   Engine)    │    │              │    │              │          │
│  └──────────────┘    └──────────────┘    └──────────────┘          │
│                                                                      │
│  Memory Layer: Custom Allocators (P5) throughout                    │
│  Final Integration: P6 - Full HFT Trading System                    │
└─────────────────────────────────────────────────────────────────────┘

Project Index

#	Project	Difficulty	Time	Key Focus	Link
1	Limit Order Book Engine	Intermediate	1-2 weeks	Cache-friendly data structures, order matching	P01-limit-order-book-engine.md
2	Lock-Free Market Data Handler	Advanced	2-3 weeks	Atomics, memory ordering, SPSC queues	P02-lock-free-market-data-handler.md
3	Simple Matching Engine	Advanced	3-4 weeks	Event-driven I/O, protocol design, TCP	P03-simple-matching-engine.md
4	Trading Strategy Backtester	Intermediate	2-3 weeks	Event replay, simulation, quant metrics	P04-trading-strategy-backtester.md
5	Custom Memory Allocator	Intermediate	1 week	Pool/arena allocators, malloc replacement	P05-custom-memory-allocator.md
6	Full HFT Trading System	Expert	2-3 months	System integration, end-to-end latency	P06-full-hft-trading-system.md

Learning Paths

Path 1: The Foundation Builder (Recommended for Beginners)

For those new to HFT but with solid C++/Rust fundamentals:

Week 1-2:   P01 Order Book ──────────────────────────────►
Week 3:     P05 Memory Allocator ─► Integrate into P01 ──►
Week 4-6:   P02 Lock-Free Queue ─────────────────────────►
Week 7-10:  P03 Matching Engine ─────────────────────────►
Week 11-13: P04 Backtester ──────────────────────────────►
Week 14+:   P06 Full System ─────────────────────────────►

Path 2: The Latency Hunter (For Performance-Focused Engineers)

Start with memory and lock-free fundamentals:

Week 1:     P05 Memory Allocator ────────────────────────►
Week 2-4:   P02 Lock-Free Queue ─────────────────────────►
Week 5-6:   P01 Order Book (with allocator) ─────────────►
Week 7-10:  P03 Matching Engine ─────────────────────────►
Week 11+:   P06 Full System (skip backtester) ───────────►

Path 3: The Quant Developer (Strategy-Focused)

For those interested in the trading/strategy side:

Week 1-2:   P01 Order Book ──────────────────────────────►
Week 3-5:   P04 Backtester ──────────────────────────────►
Week 6-8:   P03 Matching Engine (strategy integration) ──►
Week 9+:    P06 Full System (focus on strategy layer) ───►

Core Concepts Mastered

Concept	Primary Project	Why It Matters
Cache-line optimization	P01, P02	Cache misses cost ~100 cycles; hits cost ~4
Lock-free programming	P02	Mutexes add microseconds; atomics add nanoseconds
Memory pooling	P05	malloc() is non-deterministic and slow
Event-driven I/O	P03	epoll/io_uring handle 100K+ connections
Binary protocols	P03	JSON is too slow; binary is O(1) parse
Market microstructure	P01, P04	Understanding how markets actually work

Prerequisites

Essential (Must Have)

Proficiency in C++ (C++17+) or Rust
Understanding of basic data structures (maps, queues, trees)
Basic threading concepts (threads, mutexes, condition variables)
Linux/Unix command line proficiency
Git version control

Helpful (Will Accelerate Learning)

Systems programming experience
Basic networking (TCP/IP, sockets)
Understanding of CPU architecture (caches, pipelining)
Financial markets basics (orders, trades, positions)

Development Environment

OS: Linux recommended (Ubuntu 22.04+ or similar)
Compiler: GCC 12+ or Clang 15+ (C++), Rust 1.70+ (Rust)
Tools: perf, valgrind, flamegraph, heaptrack
IDE: VSCode with C++/Rust extensions, or CLion

Language Choice Guide

Factor	Choose C++	Choose Rust
Existing codebase	Most HFT firms use C++	Greenfield projects
Safety requirements	When you need manual control	When memory safety is critical
Library ecosystem	More HFT-specific libraries	Growing but smaller
Job market	Traditional finance/HFT	Tech companies, crypto
Learning curve	Steeper (undefined behavior)	Safer (compiler catches errors)

Project Comparison

Project	Depth	Fun	Resume Value	Real-World Applicability
P01 Order Book	⭐⭐⭐⭐⭐	⭐⭐⭐⭐	⭐⭐⭐⭐⭐	Core of every exchange
P02 Lock-Free	⭐⭐⭐⭐⭐	⭐⭐⭐	⭐⭐⭐⭐⭐	Essential HFT skill
P03 Matching Engine	⭐⭐⭐⭐⭐	⭐⭐⭐⭐⭐	⭐⭐⭐⭐⭐	Exchange infrastructure
P04 Backtester	⭐⭐⭐⭐	⭐⭐⭐⭐⭐	⭐⭐⭐⭐	Quant essential tool
P05 Allocator	⭐⭐⭐⭐	⭐⭐⭐	⭐⭐⭐⭐	Systems programming
P06 Full System	⭐⭐⭐⭐⭐	⭐⭐⭐⭐⭐	⭐⭐⭐⭐⭐	Complete HFT experience

Key Resources

Books (In Order of Importance)

“Building Low Latency Applications with C++” by Sourav Ghosh - Step-by-step trading system
“Rust Atomics and Locks” by Mara Bos - Definitive lock-free guide for Rust
“Computer Systems: A Programmer’s Perspective” by Bryant & O’Hallaron - CPU/memory fundamentals
“The Linux Programming Interface” by Kerrisk - Systems programming reference
“Developing High-Frequency Trading Systems” by Donadio, Ghosh, Rossier - Multi-language approach

GitHub Repositories

aspone/OrderBook - C++ low-latency order book (300-600ns)
Building-Low-Latency-Applications-with-CPP - Full trading system
awesome-lockfree - Curated lock-free resources

Articles & Talks

Rust vs C++ for trading systems - Modern language comparison
Fear and Loathing in Lock-Free Programming - Mental models
CppCon talks on low-latency (search “CppCon low latency” on YouTube)

Success Metrics

By completing these projects, you’ll be able to:

Build order books with sub-microsecond operations
Implement lock-free data structures correctly
Design binary protocols for minimal latency
Use epoll/io_uring for high-throughput networking
Profile and optimize for cache efficiency
Create custom allocators for deterministic performance
Integrate multiple components into a trading system
Measure and reason about latency at nanosecond granularity

Getting Started

Read the first project guide: P01-limit-order-book-engine.md
Set up your environment following the prerequisites
Build first, optimize later - Get it working, then make it fast
Measure everything - Use perf, flamegraph, and custom benchmarks
Join the community - HFT Discord servers, r/algotrading, Hacker News

Remember: HFT is about understanding the machine at the deepest level. Every project here forces you to confront a fundamental truth about how computers actually work. Embrace the struggle - that’s where the learning happens.