Adapting the Actor Model of Concurrency for High-Frequency Trading: Synchronous Message Delivery (fast_send) and a Tick-to-Book Latency Study

Battle Count: 50

Directly addresses the core infrastructure question for HFT: whether the actor model's safety guarantees (data-race freedom, deadlock resistance, sequential reasoning) can be retained without paying a latency penalty on the tick-to-book hot path. The live CME market data evaluation (ES, NQ, ZN futures) and the production/simulation duality for strategy development are directly applicable to quantitative trading systems. The finding that the actor framework contributes under 1% of decode-and-book latency is a practical result for HFT system architects. Relevance is slightly below maximum because the paper focuses on the messaging/concurrency layer rather than trading strategy, alpha generation, or execution algorithms themselves.

Requires C++20 proficiency, understanding of lock-free data structures (Vyukov ring buffer), memory pool design, multi-producer/single-consumer queue variants, thread-local storage for cyclic detection, and actor model semantics. The framework itself is open-source, but adapting it to a specific HFT pipeline (socket readers, SBE decode, order book, signal generation, order management) requires significant systems engineering. The four queue implementations, five delivery operations, and group scheduling add configuration complexity. The cyclic-invocation detector and receiver transparency constraints require careful design discipline.

The kaspar-hft framework is open-source on GitHub with all code and measurements drawn from the repository. Hardware (AMD EPYC 9374F, RHEL 9, g++15), compilation flags (-O3 -march=native), thread pinning (taskset), and measurement methodology (median of three runs, sequential ping/pong) are fully specified. However, the live CME market data is proprietary and not distributable, and the study covers only one box and one 53-minute session. The companion paper on the arrival process is noted as 'in preparation.'