Low-Latency Trading Systems: The Developer's Playbook

A strategy only earns money if its execution survives contact with the market. This masterclass is about the engineering layer between a good idea and a good fill: how modern trading systems move orders in microseconds, and how you can build and measure the same machinery yourself.

Ananya Rao has designed low-latency trading systems at two major market makers. She will walk through a real order path — market data in, decision, order out — and show where the microseconds actually go.

What we will cover

• The anatomy of a tick: from network packet to strategy callback
• Kernel bypass (DPDK and friends) and when it is worth the complexity
• Lock-free queues, memory layout and the cache as your real data structure
• Benchmarking honestly: measuring percentiles, not averages
• A live walkthrough of a minimal market-data feed handler in C++ and Python

This is a technical session. Attendees should be comfortable writing code and thinking about performance, but no prior low-latency experience is assumed. A companion repo with all the code is shared with participants after the event.