A production-grade, ultra-low latency quantitative backtesting framework engineered in C++20 to process millions of tick-by-tick market events per second with deterministic execution timing.
Architecture Highlights:
- Zero-Copy Memory Mapping: Direct
mmapingestion of ITCH/Pcap binary feeds with SIMD-vectorized parsing pipelines. - Lock-Free Ring Buffers: Single-Producer Single-Consumer (SPSC) atomics eliminating mutex contention across execution threads.
- Microstructure Accounting: Exact matching engine simulation accounting for queue position, fill probabilities, and adverse selection.