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Past Event

A Performance Analysis of a Simple Trading System over Compilers & O/Ses and Mitigations for Spectre & Meltdown

Date & Time : Thursday 14 March 2019, 6.00pm - 9.30pm
Venue : BCS, 1st Floor, The Davidson Building, 5 Southampton Street, London, WC2E 7HA
(View on Google Maps)
Speaker : Jason Hearne-McGuiness

Abstract

High-Frequency Trading (HFT) and low-latency trading are a major preserve of C++. The fact that it is amenable to extensive optimisation, including micro-optimisations, has made it highly effective. Also the impact of hardware and O/S upon such performance-critical systems are other major factors that C++ can build upon.

Continued demand has meant this talk is updated with results from the latest versions of G++ and Clang! The talk shall cover, amongst other items: an analysis of some micro-optimisation techniques with particular focus on the quirks in generated assembler due to different compiler versions. Exactly what is static branch-prediction, and how is it (ab)used? Followed on by the "curious case of the switch-statement". All of these, and more, have been successfully implemented in a simple FIX-to-MIT/BIT trading system, for which the performance shall be analysed. Moreover the impact of selected O/Ss upon performance shall be discussed. Much has been written and speculated upon the mitigations for Spectre and Meltdown upon performance. I shall present results that appear to contradict the currently-propounded beliefs of some major organisations.

About the Speaker

Jason is a contract programmer in C++ on Linux. The 15 years experience spans: from a nuclear physicist to programming prototype super-computers, but now in finance; focussing on low-latency and HFT software, their architectures and the issues arising from them. I am also actively involved with the ISO/UK C++ Panel and the ACCU to maintain my skill-set.




Overview of Agenda:

  • 6.00pm - Tea, coffee, juice & biscuits (Please sign in at ground floor security desk when you arrive)
  • 6.30pm - Talk
  • 7.30pm - Networking, including food and wine
  • 9.30pm - Close

After the event please leave your comment on Twitter of your experience: @bcs_apsg

Will catering be provided?

We will be providing Sushi & Oriental Platters, with tea, coffee, water, wine, and juice.