Low-Latency Algorithmic Trading Systems: Order Book Mechanics and Backtesting Engines in Rust and C++

By: Hayden Van Der Post

Reactive Publishing

Low-Latency Algorithmic Trading Systems: Order Book Mechanics and Backtesting Engines in Rust and C++ provides a rigorous, implementation-focused blueprint for designing ultra-low-latency execution architecture, high-throughput market data pipelines, and deterministic backtesting systems.

Modern quantitative execution demands microsecond and nanosecond precision. Standard high-level languages introduce garbage collection pauses, memory footprint bloat, and runtime overhead that compromise execution speed. This book bridges the gap between theoretical market mechanics and production-grade system implementation using C++20 and Rust.

What You Will Learn:

Order Book Mechanics: Design high-speed L2 and L3 Limit Order Books (LOB) optimized for cache locality, minimal memory allocation, and fast order matching.Market Data Ingestion: Implement asynchronous, lock-free network routines to parse market data protocols (FIX, FAST, ITCH, OUCH) with zero-copy deserialization.Deterministic Backtesting Engines: Construct event-driven backtesting architectures that accurately account for order queue priority, slippage, market impact, and latency simulation.Rust and C++ Interoperability: Capitalize on modern C++20 memory management and Rust memory safety primitives to eliminate race conditions without sacrificing throughput.System-Level Optimization: Utilize CPU affinity, cache line alignment, lock-free data structures, and kernel bypass concepts to maintain deterministic execution under extreme market volatility.

Whether you are a quantitative developer, software engineer, or system architect transitioning into algorithmic trading, this guide delivers the core software engineering principles required to build reliable, high-frequency infrastructure.

• Format: Paperback
• Language: English
• ISBN: B0HL3SK8VN
• ISBN13: 9798177119403
• Release Date: September 2026
• Publisher: Independently published
• Length: 403 Pages
• Weight: 1.08 lbs.
• Dimensions: 9.0" x 0.9" x 6.0"