Parallelizing High-Frequency Trading Applications by Using C++11 Attributes

With the wide diffusion of parallel architectures parallelism has become an indispensable factor in the application design. However, the cost of the parallelization process of existing applications is still too high in terms of time-to-development, and often requires a large effort and expertise by the programmer. The REPARA methodology consists in a systematic way to express parallel patterns by annotating the source code using C++11 attributes transformed automatically in a target parallel code based on parallel programming libraries (e.g. FastFlow, Intel TBB). In this paper we apply this approach in the parallelization of a real high-frequency trading application. The description shows the effectiveness of the approach in easily prototyping several parallel variants of the same code. We also propose an extension of a REPARA attribute to express a user-defined scheduling strategy, which makes it possible to design a high-throughput and low-latency parallelization of our code outperforming the other parallel variants in most of the considered test-cases.