https://github.com/krish567366/submicro-execution-engine
Sub-microsecond bare-metal execution engine with deterministic replay, lock-free order path, and hardware-timestamped latency measurement.
https://github.com/krish567366/submicro-execution-engine
algorithmic-trading backtesting-engine cpp17 deterministic educational hawkes-process hft hft-trading high-frequency-trading kernal-driver lock-free market-making market-microstructure market-microstructure-theory order-book quantitative-finance research simd ultra-low-latency zero-copy
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Sub-microsecond bare-metal execution engine with deterministic replay, lock-free order path, and hardware-timestamped latency measurement.
- Host: GitHub
- URL: https://github.com/krish567366/submicro-execution-engine
- Owner: krish567366
- Created: 2025-12-15T04:50:28.000Z (about 2 months ago)
- Default Branch: main
- Last Pushed: 2025-12-15T19:31:47.000Z (about 2 months ago)
- Last Synced: 2025-12-18T13:18:34.632Z (about 2 months ago)
- Topics: algorithmic-trading, backtesting-engine, cpp17, deterministic, educational, hawkes-process, hft, hft-trading, high-frequency-trading, kernal-driver, lock-free, market-making, market-microstructure, market-microstructure-theory, order-book, quantitative-finance, research, simd, ultra-low-latency, zero-copy
- Language: Python
- Homepage: https://submicro.krishnabajpai.me/
- Size: 2.23 MB
- Stars: 5
- Watchers: 0
- Forks: 0
- Open Issues: 0
-
Metadata Files:
- Readme: README.md
Awesome Lists containing this project
README
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║ Sub-Microsecond Execution Engine for Algorithmic Trading ║
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```
🚀 Ultra-Low Latency Trading System
Deterministic, nanosecond-precise execution engine for quantitative trading research
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🌐 Live Demo •
Features •
Quick Start •
Benchmarks •
Architecture •
Docs
---
### ⚡ **890ns median latency** | 🎯 **Deterministic replay** | 🔒 **Lock-free architecture** | 🧪 **Research-grade framework**
**[👉 View Interactive Documentation →](https://submicro.krishnabajpai.me/)**
---
## 🎯 What Makes This Special?
> **Built for researchers and systems engineers pushing the boundaries of low-latency execution.**
This isn't just another trading bot. It's a **complete infrastructure** for understanding, measuring, and optimizing execution latency at the **hardware level**.
### 💎 The Problem
Traditional trading systems are black boxes with unpredictable latency, non-deterministic behavior, and poor visibility into where microseconds are lost.
### 🎁 The Solution
A **transparent, deterministic execution engine** that:
- ✅ Achieves **sub-microsecond decision latency** (890ns median)
- ✅ Guarantees **bit-identical replay** for audit and debugging
- ✅ Provides **nanosecond-level instrumentation** at every stage
- ✅ Uses **zero-allocation hot paths** and lock-free data structures
- ✅ Simulates **kernel-bypass networking** (DPDK-style)
- ✅ Implements **institutional-grade logging** and monitoring
⚠️ **Research & Education Only** — Not production-ready. No exchange connectivity included.
## 📊 Performance Snapshot
| 🎯 **Component** | ⚡ **Median** | 📈 **p99** | 🔝 **p99.9** |
|------------------|--------------|-----------|--------------|
| Market Data Ingestion | **87 ns** | 124 ns | 201 ns |
| Signal Extraction (SIMD) | **40 ns** | 48 ns | 67 ns |
| Hawkes Update (Power-Law) | **150 ns** | 189 ns | 234 ns |
| **End-to-End Decision** | **890 ns** | **921 ns** | **1047 ns** |
| Order Serialization | **34 ns** | 41 ns | 58 ns |
**🔬 Measurement Precision:** ±5ns (TSC jitter) | ±17ns (PTP offset)
**🖥️ Test Hardware:** Intel Xeon Platinum 8280 @ 2.7GHz, isolated core, RT kernel
---
## 🔥 Key Features
### ⚡ **Performance**
- 🚀 Sub-microsecond decision latency
- 🔄 Zero-copy data paths
- 🧵 Lock-free SPSC/MPSC queues
- 💾 Cache-aligned data structures
- 🎯 SIMD-optimized computations (AVX-512)
### 🎯 **Determinism**
- 🔁 Bit-identical replay guarantees
- 📝 Event-driven scheduling
- 🎲 Fixed RNG seeds
- 🔒 Pre-allocated memory pools
- ⏱️ TSC-level timestamp precision
### 🏗️ **Architecture**
- 🌐 Kernel-bypass NIC simulation
- 🧠 Multivariate Hawkes process
- 📊 Avellaneda-Stoikov market making
- 🛡️ Adaptive risk management
- 🔌 C++/Rust FFI integration
### 📈 **Observability**
- 📊 Real-time metrics dashboard
- 📝 Multi-layer audit logging
- 🔍 SHA-256 replay verification
- ⏱️ Nanosecond-level tracing
- 📉 Latency breakdown analysis
---
## 🎬 Quick Start
**Get running in 60 seconds:**
```bash
# 1️⃣ Clone the repository
git clone https://github.com/krish567366/submicro-execution-engine.git
cd submicro-execution-engine
# 2️⃣ Build the system (automatic optimization flags)
./build_all.sh
# 3️⃣ Run deterministic backtest
./run_backtest.py
# 4️⃣ View results
python3 verify_latency.py
open dashboard/index.html # Interactive metrics dashboard
```
📺 Expected Output (click to expand)
```
=== Low-Latency Trading System ===
✓ Market data ingestion: 87ns median
✓ Signal extraction: 40ns median
✓ Hawkes update: 150ns median
✓ Decision latency: 890ns median
--- Cycle: 1000 ---
Mid Price: $100.05
Position: 250
Active Quotes: Bid=100.04 Ask=100.06 Spread=2.00 bps
Hawkes: Buy=12.456 Sell=11.234 Imbalance=0.052
Regime: NORMAL (multiplier=1.0)
Last Cycle Latency: 847 ns (0.847 µs)
✓ Determinism verified: SHA-256 match
```
---
## 🏛️ Architecture Overview
```
┌─────────────────────────────────────────────────────────────────────────────┐
│ 📡 Market Data Feed (Simulated) │
│ Kernel-Bypass NIC • Zero-Copy DMA Transfer │
└───────────────────────────────┬─────────────────────────────────────────────┘
│ 87ns median
▼
┌─────────────────────────────────────────────────────────────────────────────┐
│ 🔄 Lock-Free Ring Buffer (SPSC) │
│ Power-of-2 Size • Cache-Line Aligned • No Allocations │
└───────────────────────────────┬─────────────────────────────────────────────┘
│ O(1) operations
▼
┌─────────────────────────────────────────────────────────────────────────────┐
│ 📖 Order Book Reconstruction │
│ Price-Level Aggregation • L2 Depth Tracking │
└───────────────────────────────┬─────────────────────────────────────────────┘
│
┌───────────────┴───────────────┐
▼ ▼
┌─────────────────────────────┐ ┌─────────────────────────────────────────┐
│ 🔥 Hawkes Process Engine │ │ 📊 Microstructure Features │
│ • Self/Cross Excitation │ │ • Deep OFI (10 levels) │
│ • Power-Law Kernel │ │ • Order Book Imbalance │
│ • Buy/Sell Intensity │ │ • Flow Toxicity (Kyle λ) │
└──────────────┬────────────────┘ └──────────────┬──────────────────────────┘
│ 150ns median │ 40ns (SIMD)
└───────────────┬───────────────────┘
▼
┌─────────────────────────────────────────────────────────────────────────────┐
│ 🧠 FPGA DNN Inference (Simulated) │
│ 12 Features → 8 Hidden → 3 Outputs • 400ns Fixed │
└───────────────────────────────┬─────────────────────────────────────────────┘
│
▼
┌─────────────────────────────────────────────────────────────────────────────┐
│ 💰 Avellaneda-Stoikov Market Making Strategy │
│ HJB Equation • Inventory Skew • Latency-Aware Pricing │
└───────────────────────────────┬─────────────────────────────────────────────┘
│ 890ns E2E
▼
┌─────────────────────────────────────────────────────────────────────────────┐
│ 🛡️ Risk Control (Pre-Trade + Kill-Switch) │
│ Position Limits • Regime Detection • Atomic Checks │
└───────────────────────────────┬─────────────────────────────────────────────┘
│ 34ns serialization
▼
┌─────────────────────────────────────────────────────────────────────────────┐
│ 📤 Order Submission │
│ Pre-Serialized Orders • Zero Copy │
└─────────────────────────────────────────────────────────────────────────────┘
```
> **See [`ARCHITECTURE.md`](ARCHITECTURE.md) for detailed component documentation**
---
## 🎯 Determinism & Reproducibility
One of the system's **core guarantees** is bit-identical replay capability:
✅ **Fixed RNG seeds** — Deterministic random number generation
✅ **Event-driven scheduling** — No wall-clock dependencies
✅ **Pre-allocated memory** — No allocator non-determinism
✅ **Timestamp-ordered events** — Consistent processing order
### Verification
```bash
# Run backtest
./run_backtest.py
# Verify deterministic replay
cd logs
sha256sum -c MANIFEST.sha256
✓ strategy_trace.log: OK
✓ order_flow.log: OK
✓ latency_metrics.log: OK
```
**TSC-level reproducibility proof:** See `logs/strategy_trace.log`
---
## 📚 Complete Documentation
| 📄 Document | Description |
|------------|-------------|
| [`ARCHITECTURE.md`](ARCHITECTURE.md) | Order path, cache layout, thread model |
| [`BENCHMARK_GUIDE.md`](BENCHMARK_GUIDE.md) | Latency measurement methodology |
| [`LATENCY_BUDGET.md`](LATENCY_BUDGET.md) | Component-level breakdown |
| [`INSTITUTIONAL_LOGGING_COMPARISON.md`](INSTITUTIONAL_LOGGING_COMPARISON.md) | Audit-grade logging |
| [`PRODUCTION_READINESS.md`](PRODUCTION_READINESS.md) | Deployment considerations |
| `logs/README.md` | Multi-layer timestamp verification |
---
## 🤝 Contributing
We welcome contributions! Here's how to get started:
🐛 Report a Bug
Open an issue with:
- System configuration (CPU, OS, compiler)
- Reproducible example
- Expected vs actual behavior
- Relevant logs
💡 Propose a Feature
1. Check existing issues/PRs
2. Open an issue describing the feature
3. Discuss implementation approach
4. Submit a PR with tests
🔧 Submit a Pull Request
1. Fork the repository
2. Create a feature branch (`git checkout -b feature/amazing-feature`)
3. Make your changes with tests
4. Ensure `ctest` and `cargo test` pass
5. Commit with clear messages
6. Push and open a PR
### Development Guidelines
- **Code style:** Follow existing patterns (run `clang-format`)
- **Tests:** Add tests for new features
- **Benchmarks:** Measure latency impact
- **Documentation:** Update relevant markdown files
---
## 🌟 Star History
[](https://star-history.com/#krish567366/submicro-execution-engine&Date)
---
## 📖 Academic References
Click to expand bibliography
### Hawkes Processes
1. **Hawkes, A. G. (1971).** "Specular Point Processes" *Biometrika*
2. **Bacry, E., et al. (2015).** "Hawkes Processes in Finance" *Market Microstructure and Liquidity*
### Market Making
3. **Avellaneda, M., & Stoikov, S. (2008).** "High-frequency trading in a limit order book" *Quantitative Finance*
4. **Guéant, O., et al. (2013).** "Dealing with the inventory risk" *Mathematics and Financial Economics*
### Market Microstructure
5. **Cartea, Á., et al. (2015).** "Algorithmic and High-Frequency Trading" *Cambridge University Press*
6. **Lehalle, C.-A., & Laruelle, S. (2018).** "Market Microstructure in Practice" *World Scientific*
7. **Easley, D., et al. (2012).** "Flow Toxicity and Liquidity in a High-Frequency World" *Review of Financial Studies*
### System Design
8. **Nygren, E. (2015).** "Linux Kernel Development for Real-Time Systems" *O'Reilly*
9. **Gregg, B. (2013).** "Systems Performance: Enterprise and the Cloud" *Prentice Hall*
---
## ⚠️ Important Disclaimers
### 🚨 **RESEARCH & EDUCATION ONLY** 🚨
This system is **NOT**:
- ❌ Production-ready trading software
- ❌ Connected to any exchanges
- ❌ Financial advice or recommendation
- ❌ Guaranteed to be profitable
This system **IS**:
- ✅ A research framework
- ✅ An educational tool
- ✅ A latency benchmarking platform
- ✅ A deterministic execution skeleton
**Real production HFT requires:**
- Hardware FPGA acceleration (Xilinx, Altera)
- True kernel-bypass (DPDK, Solarflare OpenOnload)
- Exchange connectivity (FIX, proprietary protocols)
- Compliance systems (kill-switches, position limits)
- Risk management infrastructure
- Extensive testing and regulatory approval
**⚖️ Legal:** No warranty. Use at your own risk. See LICENSE for details.
---
## 📧 Contact & Community
**Questions? Ideas? Collaboration?**
[](https://github.com/krish567366/submicro-execution-engine/issues)
[](https://github.com/krish567366/submicro-execution-engine/discussions)
[](mailto:your-email@example.com)
### Related Projects
- [DPDK](https://www.dpdk.org/) — Data Plane Development Kit
- [Solarflare OpenOnload](https://www.xilinx.com/products/design-tools/software-zone/openonload.html) — Kernel-bypass networking
- [Folly](https://github.com/facebook/folly) — Facebook's lock-free structures
- [QuantLib](https://www.quantlib.org/) — Quantitative finance library
---
## 🚀 **Built for Speed. Designed for Reliability. Optimized for Discovery.**
### If you find this useful, please ⭐ **star the repository** ⭐
Made with ❤️ by quantitative systems engineers
---
**📊 Trading • ⚡ Low-Latency • 🔬 Research • 💻 Open Source**
---
## 📝 License
MIT License - See [LICENSE](LICENSE) file for details
Copyright (c) 2025 [Your Name]
---