Packets, Transactions and Queues: Design Principles for HFT Systems from a Measurement Study of CME Market Data

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Directly addresses the core infrastructure challenge of HFT: minimizing latency tails in market data ingestion. Provides actionable design rules for single-thread vs. multi-thread architectures based on empirical feed characteristics.

Requires deep understanding of queueing theory, point processes (Hawkes), and low-latency C++ system design. Implementing the simulator is moderate, but applying the design rules requires precise measurement of feed-specific parameters (publisher period).

Code is open source in the Kaspar-HFT repository. However, the raw packet captures (pcap) are not redistributable, limiting full external replication of the specific dataset, though the methodology and simulator are provided.