[erlang-questions] trading systems
Thu Oct 1 18:40:39 CEST 2009
On Thu, Oct 01, 2009 at 05:04:12PM +0100, Joel Reymont wrote:
> On Oct 1, 2009, at 4:50 PM, Kenneth Lundin wrote:
> >It would be nice if you could explain what the system needs to do
> >and after that
> >why you think it is a problem to store prices in an ETS-table.
> >Why are you talking about mmapped files? Please explain for a novice
> >in trading systems.
> It's high-frequency trading systems I'm talking about. Where's Serge
> Aleynikov  when you need him?
> I'd like to process an incoming price quote, make a decision and
> submit a trade order with minimal latency. I know that this is
> normally done using C++ (or OCaml ) but I'm wondering how this can
> be achieved using Erlang.
> Minimal latency is usually achieved by hitting the CPU cache as
> frequently as possible and minimizing memory copying overhead. ETS
> copies memory and I suspect it's use of the cache is rather poor by
> virtue of being a "hash table" and pointing all over the place in
> A simple array of floats or doubles groups data together in memory and
> is very cache friendly. I figure that an Erlang binary is the closest
> I can get to an array in Erlang. mmap-ing a file of floats or doubles
> and wrapping it in a binary should avoid unnecessary copying of data
> from disk to memory.
> I think operating on binaries representing mmap-ed files of price
> quotes is as close as you can get to low latency in Erlang. I know
> that premature optimization is the root of all evil but I'd rather
> have my teeth pulled than optimize Erlang. This is speaking from
> experience. I figure a much better way is to choose a concept that
> guarantees fast code from the start.
There's always the undocumented hipe bit and bytearrays (which are
mutable) if you're willing to sacrifice everything on the altar of
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