Whitepaper: Architectural Evolution of a High-Speed Trading System

This free whitepaper documents a real architectural pivot in a high-speed (“HFT-like”) trading system:

1. moving from instrument-centric clients to strategy-centric clients, and
2. migrating the implementation from C++ to C#/.NET on Windows to improve development velocity and maintainability under real-world constraints.

It’s written for system architects, developers, and technical founders building latency-sensitive trading infrastructure who need to balance performance, maintainability, and time-to-iterate.

What you’ll learn

• Why strategy-centric system organization can reduce code duplication and accelerate iteration across multiple instruments
• What triggered the pivot (market-data/backtest insight: multiple instruments sharing one optimal strategy)
• The practical friction points of C++ on Windows in a fast-moving project:
• AI-assisted development “context loss” as codebases grow
• Dependency management complexity (e.g., VCPKG overhead)
• Build and project maintenance tax (CMake sprawl, headers, config files)
• A grounded view of “HFT-like” vs true HFT (and why nanosecond-level optimization may be a misalignment without DMA/co-location and premium API tiers)
• The final implemented architecture: .NET console apps + Redis Pub/Sub message bus + Rhythmic gateway

What’s inside (sections)

1. Introduction: The imperative for architectural agility in trading systems
2. Paradigm shift: Instrument-centric → strategy-centric client architecture
3. Why migrate: Challenges of C++ on Windows in practice
4. Performance reality check: “HFT-like” vs true HFT requirements
5. Implemented solution: C#/.NET message-driven architecture (Redis Pub/Sub)
6. Conclusion: Strategic lessons for trading system design

Included strategies (as strategy-client examples)

• Mean Reversion
• MACD Momentum
• VWAP Mean Reversion
• RSI Mean Reversion

Who this is for

• Developers building trading bots that must run on Windows due to vendor APIs
• Architects considering strategy modularity and multi-instrument reuse
• Teams choosing between C++ performance and .NET development ergonomics
• Anyone designing message-driven trading components using Redis Pub/Sub

Important disclaimer

This whitepaper is for educational and informational purposes only. It does not constitute trading, investment, or financial advice. Trading involves risk, and you are responsible for your own decisions and outcomes.