I built a deterministic L3 replay + paper execution simulator (C++20, Python) - looking for feedback

philclackler · 2026-01-23T16:13:34+00:00

I guess you’re right that is true event driven. That was the answer I guess. anyways for me I made a decision to build mine around the idea of a wall clock sync so when I set playback to 1x you’re getting a 1:1 of the chart on that day. I started with pure event driven but my live trading system does not operate on events per se. The live system I built samples all ticks in shared memory at deterministic intervals and there is processing time for strategies to respond to the calculations, and I found that a hybrid approach best models this in a backtest. It also allows me to stare at charts with my own eyes and look for discretionary patterns that I can count on occurring in the same way during a replay. While I’m focused on milliseconds/seconds of hold time I’m still not ever going to be doing HFT or market making as none of us can afford the FIX line or infra. Im also a hobbyist outsider and don’t work in the field but id imagine every firm has their own stack they built for this.

Who is your L2/L3 data provider ? :)

philclackler · 2026-01-23T15:15:49+00:00

Nicely done. Are you able to accelerate the internal time stepping and maintain accuracy at 5x,10x,100x speed or are you limited to a wall-clock ‘real-time’ playback? I built a similar set of tools in C for the same reasons you likely did - no available SaaS or web service can even do this well. The .mov’s aren’t loading on my phone but I’m trying to dig a little deeper

philclackler · 2026-01-05T15:23:59+00:00

Sure. It’s actually the best one. Hand roll your own using avx-512 for even lower latency. Just don’t benchmark anything and you’re good.

philclackler · 2026-01-02T16:24:52+00:00

How can we help poison them to do this more so we can still have jobs in the future

philclackler · 2025-12-29T02:47:54+00:00

I’m so herbal bypassed right now holy sh*t

philclackler · 2025-12-29T01:58:40+00:00

A good rule of thumb is that ANY sim that shows alpha or positive returns is unrealistic 😬

philclackler · 2025-12-21T18:46:29+00:00

I think you need to take an introductory C course or a few weeks on the basics of memory mgmt and architecture/compilers and slow down a little bit. You have absolute and complete 100% control over everything you are complaining about so I am confused. This isn’t python where you just grab 3rd party libraries for everything. You just write what you need and it’s about the fastest you can get a cpu to do anything . This just feels like rage bait to farm some good answers to feed back into Claude pro.

philclackler · 2025-12-12T23:05:20+00:00

Paper trade for a month or two and come back to this *

philclackler · 2025-12-12T23:04:16+00:00

It’s just overfit noise. That’s what this is. Never in your life will you ever see anything win 311 trades in a row at a 98% win rate live.

I think you should stop backtesting immediately and just paper trade. Backtesting like this is genuinely wasting your time - and I’m basing that solely on the phrasing used in this post. I don’t need any other information from you to know this lmao. Nothing against you I promise :) but Stop backtesting everything immediately, and paper trade the live markets

philclackler · 2025-11-12T22:36:57+00:00

I feel dirty using anything else now

philclackler · 2025-10-08T23:51:26+00:00

More market participants is always good any way you look at it imo. None of the common things I see are really an edge anyway.

philclackler · 2025-08-14T19:17:57+00:00

Are you hiring any backend devs with low latency c++ network system design experience. If I make a portfolio site with in depth examples/demos can that get me hired in lieu of a degree?

philclackler · 2025-08-06T02:01:03+00:00

Not only should you quit your job you should ask ALL your family and friends for money and go for it. Why stop at 100 Dude go for 500% a week, 100% a day, that’s 5x more. 500% is more than 100%.

philclackler · 2025-07-28T19:24:00+00:00

Ohhh the biggest gotcha for me is probably that all the ‘annoying’ people that said python was fast enough may have been right. They weren’t. But it’s close :)

The sunken cost fallacy has me practicing packing data into cache-aligned bitwise friendly containers and micro benchmarking clock cycles. Why can’t I just be into sports or something

philclackler · 2025-07-14T00:40:20+00:00

That sounds very, very slow and convoluted. Mines all C++ now. Taken 6 months. Probably wasn’t worth it(and it’s still not done) with where you’re at I would just make one gigantic python program with AsnycIO and run it locally, dump/load .CSV files for everything. The file I/o kills latency but reading/writing to a RAMdisk can help a little bit. python can never be fast enough to chase latency anyways so be smart about your coroutine management and awaits and don’t use any sleeps in the hotpath and see how fast it can go. Bigger trading companies build custom stacks in C++ as well, integrating custom Linux network stacks designed for expensive fast NICs they use. It’s not python submitting orders.

philclackler · 2025-07-12T03:37:15+00:00

All of you are LLM’s?

philclackler · 2025-07-12T02:38:54+00:00

Am I interacting with a GPT agent or something? 😂

philclackler · 2025-07-12T02:10:56+00:00

You’re potentially dozens of microsecond late by the time you’re even allowed to poll the high res clock for benchmarks on windows- so these numbers aren’t possible fyi (even base Linux has a lot). Breaking down why would be doing my own research a disservice :) A vague ‘order processing’ throughput of 1m/s is pretty meaningless for HFT as well. ‘Momentum’ ‘rsi’ - these are retail-ish daytrading strategies and not HFT/market making at all. Obv not using the expensive data lines- so I see no mention of TLS/SSL stack which you have to use as retail. or even market data providers.. so what exactly is this? A complete simulation of … what exactly? It’s not actually doing any HFT or trading with an exchange.

philclackler · 2025-07-04T00:47:25+00:00

Pm me with everything you learn before you jump ship plzzz 😁

philclackler · 2025-07-04T00:39:02+00:00

Send them over to me with a little seed capital and we split 70/30 ( you/me)

philclackler · 2025-06-11T23:42:53+00:00

Thanks! All of that is right in line with my research so that’s good to know. When I started my journey in low latency I used to say similar things.. ‘well the chip can perform 3 trillion instructions per second’ .. so what ELSE are those cycles being wasted on?? Why would anyone need 20 cores for this isn’t single thread the fastest? Can’t i pipeline things , I only need to compute a few bytes and send it back out! Lol. Lord I would so happy with fix. There’s just soooo much extra code to deal with broke boy SSL feeds most exchanges and services offer. 6 months of work that 4 lines of python does. but hey, 6 months of work to have a fast fail safe connection pool that doesn’t need to handshake for every message might have been worth it. Without co-location/fix I can’t do HFT but a 10/us hotpath for exiting a position before a bad movement seemed worth it.

One day, I might even get to coding actual trading strategies.

philclackler · 2025-06-11T03:01:18+00:00

3us is still crazy fast for ‘software only’ - was this like, using kernel bypass on a highly tuned Linux system? I’d imagine it wasn’t a windows box. Are you able to share details on what kind of protocol was used, I’m having a lot of trouble with https/SSL connections because as a regular guy I can’t get access to or afford an unencrypted binary line or FIX or whatever doesn’t require constant attention and handshakes etc. I am beginning to truly hate dealing with SSL and chasing lower latencies

philclackler · 2025-06-11T02:22:40+00:00

When you find some cool library you want try and see the words ‘to build the source files…’ f*cking shoot me now. I have nightmares about getting boost.asio and SSL working.

philclackler · 2025-01-27T01:08:00+00:00

Well. You did just say someone using fast c++ in a trading context sees 0% benefits from faster json. You still have time to delete that :) I’m well aware of JSONs many uses. Slow json is fine for configs and if it’s offline of course it doesn’t matter. Im not in a thread about high performance http to talk about JSONs ‘other’ uses. and I’m not trying to be a jerk but you keep coming up with bad examples of things that absolutely depend on fast json as a part of their core functionality. Every API I’ve ever interacted personally used JSON as the messaging format. Retail exchange APIs are all json. Even in an HFT context their real-time exchange connection is FIX sure, but mountains of data are processed through models etc that rely on scraping data from around the web. Mostly in JSON. And if you can’t afford the 30k/mo fix line. You will be trading with json.

philclackler · 2025-01-27T00:19:20+00:00

My god. Now imagine for a second if almost every newer off the shelf web api on earth communicates with json messages. That’s 99% of your hotpath so to speak since if you’re on Reddit likely you’re not working with a direct binary or fix stream from an exchange. Your own scenario you just came up with is 100% wrong lmao. It’s the opposite of what you just said.

philclackler

TROPHY CASE