Course Wrap-up and Next Steps
A quick, actionable finale. You've built a tiny end-to-end HFT microservice, learned how to set up fast C++ and Python toolchains, and seen the latency-sensitive pieces that matter most in production. Below is a compact recap, a visual roadmap, immediate next projects, and career/practice tips — tailored for you (a beginner in C++, Python, Java, C, and JS).
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ASCII Roadmap (what you built → where to go):
[Synthetic Feed] --> [Feed Handler (C++/DPDK)] --> [Strategy (Python prototype)] --> [Order Gateway (C++)] --> [Simulated Exchange]
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`--> [Logger / Backtester] (CSV / SQLite)
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What you learned (recap):
- Core components:
market data feed handler,strategy,order gateway,simulated exchange,logger/backtest. - Tooling:
CMake,g++/clang,venv/conda,pybind11for C++/Python bridges. - Low-latency basics: kernel tuning knobs, IRQ affinity,
TX/RXring sizing, hardware timestamping,TSCcaveats. - Testing & reproducibility: deterministic feeds, unit tests for parsing & matching, CI for deterministic builds.
- Measurement: using
perf,tcpdump/pcap, hardware timestamps and microbenchmarks to find hotspots.
Deeper topics to pick next (recommended order):
- Kernel-bypass networking & frameworks:
DPDK,PF_RING,Solarflare/OpenOnload— great next step if you liked the feed handler lab. - Profiling & optimization:
perf,VTune, cache-aware data structures, memory pools, andSIMDvectorization. - Concurrency & OS internals:
isolcpus, IRQ affinity, lock-free queues,NUMAplacement. - Hardware accelerators: FPGA basics for order-book / matching offload (start with reading & simulated examples).
- Time sync & accuracy:
PTP, hardware timestamping, and handling clock skew in backtests.
Immediate project ideas (pick one; 1–4 weeks each depending on depth):
1) Implement a minimal matching engine (orders, book, match loop) — language: C++.
2) Replace the synthetic feed with a local pcap replay and parse a binary multicast format — language: C++ or Python.
3) Prototype a strategy in Python, profile it, then move hot parts to C++ via pybind11.
4) Do a kernel-bypass lab: capture & replay packets with DPDK (read tutorials first).
5) Build a visualizer in JS that consumes your backtest CSV and plots PnL and orders in real-time.
Career & practice advice (practical, non-fluffy):
- Build small, reproducible demos — one repo per project with README, deterministic seeds, and a sample dataset.
- Learn systems design questions that focus on throughput & latency: practice describing trade-offs (complexity vs latency, reliability vs throughput).
- Contribute to open-source tooling (network libs, parsers) — practical code review experience matters.
- Prepare for interviews: expect questions on concurrency, TCP vs UDP tradeoffs, and how you measured/optimized latency in a past project.
Further reading & tooling (start here):
- Books/Papers: Advances in Financial Machine Learning (Marcos López de Prado), High-Frequency Trading (Irene Aldridge), research on
kernel-bypassand FPGA in finance. - Tools:
perf,gdb/lldb,Wireshark/tcpdump,pktgen,VTune,strace,bcc/ebpf. - Libraries & libs to explore:
pybind11,spdlog,fmt,Eigen,DPDK,PF_RING.
Challenges — pick one and try now (hands-on):
- Short: Re-run the provided C++ microservice and halve
SMA_WINDOW. Do trades increase? What's PnL direction? - Medium: Port the strategy loop to
Pythonusing the same random seed — do results match? If not, why? - Long: Replace immediate execution with a matching engine and record latency per order (use a simple timestamp pair).
Try editing the small C++ helper below: change the hours/targets and the advanced flag, recompile, and use the printed checklist as your personal sprint plan.
Happy hacking — think like an engineer and a detective: measure, hypothesize, change one thing, and measure again. Like a pick-and-roll in basketball (channel your inner Kobe Bryant energy): set the screen (infrastructure), make the move (strategy), and finish at the rim (reliable execution).
xxxxxxxxxx}using namespace std;int main() { // Personalize these constants to make a mini-study plan const bool advanced = false; // set true to include DPDK/FPGA in the sprint vector<pair<string,int>> roadmap = { {"Feed Handler (C++)", 8}, {"Order Gateway (C++)", 6}, {"Strategy Prototype (Python)", 5}, {"pybind11 Bridge", 4} }; if (advanced) { roadmap.push_back({"Kernel-bypass (DPDK)", 12}); roadmap.push_back({"FPGA reading & simulation", 10}); } cout << "Course Wrap-up checklist:\n"; cout << "- You have a reproducible microservice and a list of next projects.\n"; cout << "- Pick 1 small project and 1 deep topic (e.g., profiling or DPDK).\n\n"; cout << "Personal roadmap (estimated hours):\n"; for (auto &p : roadmap) { cout << " - " << p.first << " : " << p.second << "h ";


