---
status: APPROVED
title: "C++ High-Performance Real-Time Trading System"
description: "Low-latency trading platform with manual memory management, lock-free data structures, and real-time market data processing"
author: "AMP"
created: "2024-01-12"
scope: "tests/lang/cpp/**"
---
# C++ Full-Stack Implementation Plan
## Overview
Build a high-performance algorithmic trading system in C++ with manual memory management, low-latency data structures, lock-free concurrent programming, and real-time market connectivity.
## Architecture
### Core Trading Engine (C++)
- Order matching engine with microsecond latency
- Market data feed processor
- Portfolio management and risk calculation
- Real-time P&L calculation
- Strategy execution framework
### Data Infrastructure
- Lock-free queues for order handling
- Memory-mapped files for persistence
- Custom allocators for performance
- Ring buffers for market data
- Shared memory IPC
### Network Layer
- Socket programming for market feeds
- Protocol buffer serialization
- Custom TCP/UDP handlers
- Connection pooling
- Circuit breaker pattern
## Memory Management Strategy
### 1. Smart Pointer Usage
```cpp
// Portfolio manager with memory safety
class PortfolioManager {
std::unique_ptr<RiskCalculator> riskCalc;
std::shared_ptr<MarketDataFeed> feed;
std::vector<std::unique_ptr<Position>> positions;
};
// Trade execution with RAII
class TradeExecutor {
RAII_LockGuard lock(tradeMutex);
std::unique_ptr<Order> order = std::make_unique<Order>();
std::unique_ptr<Trade> trade = std::make_unique<Trade>();
};
```
### 2. Custom Memory Allocators
```cpp
// Object pool allocator for high-frequency allocations
template<typename T>
class PoolAllocator {
- pre-allocate pool, reuse objects
- O(1) allocation time
- no fragmentation
};
// Ring buffer for circular queues
template<typename T>
class RingBuffer {
- fixed size allocation
- wrap-around indexing
- cache-friendly layout
};
```
### 3. RAII Patterns
```cpp
class DatabaseConnection {
// Constructor acquires connection
DatabaseConnection() { acquire(); }
// Destructor releases connection
~DatabaseConnection() { release(); }
};
class FileHandle {
// Ensures file closure on scope exit
FileHandle(const std::string& path) { open(path); }
~FileHandle() { close(); }
};
```
## Core Components
### 1. Order Matching Engine
```cpp
class OrderBook {
std::map<double, OrderLevel> bidSide;
std::map<double, OrderLevel> askSide;
void addOrder(const Order& order);
std::vector<Trade> matchOrders();
void cancelOrder(OrderId id);
double getSpread() const;
};
struct OrderLevel {
double price;
std::vector<Order> orders;
double totalVolume;
};
```
### 2. Market Data Processing
```cpp
class MarketDataFeed {
// Lock-free queue for tick data
std::unique_ptr<LockFreeQueue<Tick>> tickQueue;
void processTick(const Tick& tick);
void updatePrices();
void calculateIndicators();
};
struct Tick {
Symbol symbol;
double bid, ask;
long long timestamp;
long volume;
};
```
### 3. Portfolio Management
```cpp
class Portfolio {
std::unordered_map<Symbol, std::unique_ptr<Position>> positions;
double calculatePnL() const;
double getExposure() const;
void updatePosition(const Trade& trade);
std::vector<Risk> assessRisks() const;
};
```
### 4. Risk Management
```cpp
class RiskManager {
// Position limits
double maxPositionSize;
double maxDailyLoss;
bool validateOrder(const Order& order) const;
void enforceStopLoss();
void rebalancePortfolio();
};
```
## Low-Latency Optimization
### 1. Lock-Free Concurrency
```cpp
class LockFreeOrderQueue {
// CAS-based operations for lock-free updates
std::atomic<Order*> head;
std::atomic<Order*> tail;
bool enqueue(const Order& order);
bool dequeue(Order& order);
};
```
### 2. Memory Layout
- Cache-line aligned structures
- False-sharing prevention
- NUMA-aware allocation
- Processor affinity
### 3. I/O Optimization
- Non-blocking socket operations
- Epoll/kqueue for event handling
- Memory-mapped network buffers
- Zero-copy techniques
## Strategy Execution Framework
### 1. Strategy Interface
```cpp
class Strategy {
virtual void onTick(const Tick& tick) = 0;
virtual void onTrade(const Trade& trade) = 0;
virtual void onOrderFill(const Fill& fill) = 0;
virtual void generateSignals() = 0;
};
class MomentumStrategy : public Strategy {
// Specific implementation
};
```
### 2. Signal Generation
- Technical indicator calculation
- Machine learning model inference
- Event-driven signals
- Risk-adjusted signals
### 3. Execution Algorithms
- TWAP (Time-Weighted Average Price)
- VWAP (Volume-Weighted Average Price)
- Execution with market impact models
- Dynamic order sizing
## Data Persistence
### 1. Real-Time Logging
```cpp
class PerformanceLogger {
// Lock-free logging for minimal overhead
void logTrade(const Trade& trade);
void logOrder(const Order& order);
void logRisk(const RiskMetrics& metrics);
};
```
### 2. Data Storage
- Binary format for compact storage
- Memory-mapped file access
- Index structures for queries
- Compression for archive
### 3. Recovery
- Checkpoints for state recovery
- Replay from market data
- Transaction logs
- Consistent snapshots
## Concurrency Management
### 1. Thread Architecture
- Main thread for event loop
- Worker threads for strategy execution
- I/O threads for network
- Monitor threads for health checks
### 2. Synchronization
- Mutex for shared state
- Condition variables for coordination
- Atomic operations for counters
- Barrier synchronization
### 3. Deadlock Prevention
- Lock ordering discipline
- Timeout-based locking
- Resource hierarchy
- Deadlock detection
## Performance Monitoring
### 1. Latency Tracking
- End-to-end order latency
- Market data processing latency
- Trade execution latency
- P&L calculation latency
### 2. Resource Monitoring
- CPU usage per thread
- Memory allocation patterns
- Cache miss rates
- Network bandwidth
### 3. System Health
- Heartbeat monitoring
- Circuit breaker status
- Connection pool utilization
- Queue depth monitoring
## Testing Strategy
### 1. Unit Tests
- Order matching logic
- Risk calculation
- Memory management
- Lock-free algorithms
### 2. Integration Tests
- End-to-end order flow
- Market data processing
- Strategy execution
- Persistence and recovery
### 3. Stress Testing
- High-frequency order generation
- Market data burst handling
- Memory leak detection
- Latency under load
## Build & Deployment
### 1. Build System
- CMake for cross-platform building
- Static linking for deployment
- Compiler optimizations (-O3, -march=native)
- Link-time optimization
### 2. Deployment
- Containerization with Docker
- Configuration management
- Graceful shutdown
- Health checks
## Deliverables
1. Order matching engine with lock-free structures
2. Market data processing pipeline
3. Portfolio and risk management system
4. Strategy execution framework
5. Custom memory allocators
6. Real-time logging infrastructure
7. Performance monitoring tools
8. Comprehensive test suite
9. CMake build system
10. Docker containerization
11. Performance benchmarks
12. Technical documentation
