Engineering¶

Using Databento DBN Files with the NanoConda Trade Simulator

The NanoConda Trade Simulator and backtesting engine now support Databento DBN files.

This integration enables cost-efficient, high-fidelity strategy testing without the complexity of working directly with raw PCAP files.

Compared to packet-level replay, DBN-based workflows are easier to manage, faster to configure, and better suited for rapid research iteration.

This workflow is especially useful for:

• Backtesting HFT strategies on complete market data sets and queue priority simulation.
• Practicing semi-automated or operator-assisted strategies.
• Training and onboarding new team members.
• Demonstrating trading systems to investors or stakeholders.

What are market data gaps and how to deal with them

In the world of high-performance trading systems, accurate and timely market data is paramount. Yet even in the most robust infrastructures, market data gaps—missing or out-of-sequence messages—are an unavoidable reality. Understanding how they occur, how to detect them, and how to recover is critical for ensuring data integrity and making reliable trading decisions.

Low-latency programming in HFT isn't about Big-O - it's about cache lines

In high-frequency trading, conventional software wisdom often breaks down. We're not optimizing for scalability or code elegance - we're optimizing for nanoseconds.

Most systems in HFT are memory-bound, not CPU-bound. Modern CPUs can execute billions of instructions per second, but if your data isn't in the CPU cache, it doesn't matter. Accessing L1 cache takes about 1 nanosecond. Accessing main RAM? Over 100 nanoseconds. That's a 100x penalty for missing the cache.

Why GPUs Are Rarely Used in High-Frequency Trading

In many fields - AI, simulations, rendering - GPUs offer massive speedups. But in ultra-low-latency trading, they're rarely the right tool.

In HFT, please use static linking.

When you're optimizing for nanoseconds, runtime behavior matters more than startup time or convenience.

Static linking - especially when combined with native compilation (-march=native, -O3, -mavx, etc.) - offers real runtime performance benefits.

Using Daily PCAPs for Nanoconda Trade Simulator

The Nanoconda Trade Simulator enables you to replay historical trading days at real-time speed, enabling you to practice launching algos, monitor their behavior, and review performance on real tick data - all without the need for live market licenses.

This workflow is especially useful for:

• Practicing strategies that require human operators.
• Training and onboarding new team members.
• Demonstrating trading systems to investors or stakeholders.

How to Find Memory Leaks

This short guide covers two fast and effective ways to find memory leaks:

5 Quick Wins for Ultra-Low-Latency Systems

When optimizing for lowest latencies, small tweaks can make a huge difference. Here are 5 quick wins that everyone should know:

How to Pick the Right Hardware for HFT

This is a very common question and something you probably need to know right away.

The answer depends on your budget and exchange setup, but if speed matters—and you’re not looking to blow your trading principal on FPGAs—here’s what you should focus on:

5 Surprising Lessons from Achieving Sub-Microsecond RT Latency

When writing code for low-latency trading, many "well-known best practices" must be ignored—or even reversed. What works in theory often collapses in real-world performance.