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Packets, Transactions and Queues: Design Principles for HFT Systems from a Measurement Study of CME Market Data

Vincent Maciejewski · 2026 · arXiv (Cornell University)

DOI: 10.48550/arxiv.2609.32848 · cited by 0 works (OpenAlex) · open-access PDF

Chinese

因此,HFT系统通过单一的4个字符串进行定义,以一个单线事件循环为基础,根据规则,每一个字符串跳增加延迟。我们测试了这一规则,以对比一个多年的CME市场数据对NQ前月合约的线程进行测量,而不是对每一个数据包和匹配成本发动机的交易的方式。发动机通常通过发送器的两个交换时间标签进行连续交易,而市场数据发行商则在每一个发行商的三秒钟内发送最多一个数据包,所以一个爆炸到达接收器作为一个单一服务包的分割服务群,而不是一个单一的服务群。

Machine translation (Meta M2M100); the English original follows.

Abstract

HFT systems are conventionally built as a single-threaded event loop, on the rule that every thread hop adds latency. We test that rule against a measurement study of more than a year of CME market data for the NQ front-month contract, following every packet and matching-engine transaction through the feed's two exchange timestamps, and checking the results against a live production receiver. Packets arrive in near-critical self-exciting clusters that belong to the matching engine's transactions, not to how the exchange packs them. The engine often processes consecutive transactions within a fraction of a microsecond, while the market-data publisher sends at most one packet per publisher period of about 7.5 microseconds, so a burst reaches the receiver as a train of packets one period apart. This yields design principles for HFT systems. First, a receiver that handles each packet within one publisher period never queues on arrivals, however bursty the market; there one thread is best. Second, above that period a queueing tail appears, driven by the timing of transactions, not by packet rate or size, and two threads can be better than one: splitting the servicing chain into two stages on separate threads removes most of the tail at the cost of one hop on the median. Third, only the slowest stage matters, so a split pays only if it shortens it. Fourth, just under the period, where the production receiver runs, the remaining tail comes from multi-message packets and variable service times, and the levers are cost per message and spread of service, not thread count. An analytic framework, a burst-limit throughput identity and an exact reduction of the tandem to a single bottleneck server, supports these results.

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Topics: Network packet, Thread (computing), Computer science, Computer network, Queue, Queueing theory

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