what language do you think would be the backbone for such a system? C/C++/Golang or something high level like node.js/Java
Simple C is most likely, ASM is possible, a language such as OCaml generating C to hook into the low level buffers would be intriguing ... the list is long and largely determined by the experience preference of whoever tackles it.
The major features for performance are to allocate and manage all memory from the start .. determine your thresholds of performance and put everything required together on cold start so as to avoid any thrashing at runtime.
I used combination of Common Lisp (SBCL), ANSI C and assembly (not much assembly, though, only very small pieces that I had trouble emitting other ways).
The main application was in Lisp, it would start up and set up the environment (using some low level code written in C/assembly).
But everything on the path of the market signal to order would be highly optimised native machine code, but some of that code would be written in C and some of it would be compiled at runtime with Lisp.
Parsing the incoming multicast feed from the exchange was implemented with Lisp emitting super efficient machine code (almost no function calls) based on a bunch of XML files describing the messages. I shamelessly stole the idea from the book Practical Common Lisp (really good if you want to get into Lisp).
Things like business rules would be compiled into decision trees using current market situation and decision trees would be reorganised, optimised and compiled into machine code and inserted into the processing path. Most of the time a very large decision tree with hundreds of complex decisions (for example, taking into account market volatility) could be distilled to just couple branching instructions. This decision tree compilation would happen after every market signal, up to 10 thousand times a second (the exchange had a basic tick of 1/10000 of a second giving me guaranteed 100us before the next market signal).
Same with actual algorithms -- I wrote a small DSL for the traders and this DSL would be compiled with Lisp to machine an inserted into the processing path.
Some parts of the framework would be built with Lisp, too. It was easier for me to write a DSL and then compile it to machine than to write it in C.
If you want to understand one principle from all this is to look at all instructions and especially branches that you have between receiving the signal and emitting the order and try to figure out if you can eliminate it and if you can't, try to find ways to do it ahead of time even if doing it ahead of time requires a lot more effort.
I too made a real time hardware level trading system back in the day, on the back of building a multi channel seismic aquisition system with a custom RealtimeOS talking to a bunch of DSP cards that each sampled a trailing flotation cable that each had multiple microphones with the entire grid going toward building up a profile of the seafloor and layers underneath along with bobbing boat|cable cancelation, etc.
Very similar architectures in many ways - with rolling DSP filters in place of trading response algorithms .. etc.
Lisp -> ASM or Lisp -> C either way code generation from a higher language was a good way to get the heavy lifting done.
I guess when different people try to achieve extreme low latency or efficiency, the solutions start to converge into small number of ideas.
What I described is chasing latency at all costs. The costs are hardware costs, maintainability costs, development costs, inefficiency (yes, a lot more CPU is used than what is needed just to run the critical path fast). This is very extreme situation and it would be very unlikely to be a good tradeoff for your application.
If you have a lot of clients connecting there are different tradeoffs to think about and different possible architectures to evaluate, but I can't help you not knowing what your problem is.
I'm really intrigued by your usage of Lisp. It's on my bucket list to learn and your post is very inspiring.
When you say Lisp was emitting machine code; are you referring to the machine code the Lisp compiler emitted for your Lisp application or was your Lisp application acting as a sort of JIT compiler and actually emitting machine code?
Maybe you can reference the section in Practical Common Lisp that introduces the idea?
In my case I wrote my own compiler that generated machine code bytes based on my needs.
The compiler wasn't at all complicated. It was not general compiler that would have to be able to deal with everything you could throw at it. It only supported one model of CPU. It did not require any optimisation mechanisms because it was assumed the instructions it received were already optimised by high level logic that generated them. It would only support very small number of instructions or mechanisms, it was mostly manipulating registers and doing branches and jumps. It produced small pieces of code to be inserted into larger C program mostly, so that this C program did not have to run decisions on what to do based on something else.
You can also use SBCL to emit any vops you want to execute as part of your Lisp program. So if you want to have a piece of crafted code to run as part of your Lisp program (for example to do some complicated operation that would be inefficient in lisp) you can also do it. I actually used vops to do some low level stuff but that was another matter, most of the time I was just outputting a buffer with crafted native machine code which would then be sent to the receiving thread (core) to insert and execute it for the next market signal.
I don't know enough about any processor created in the last 30 years to know if running bare metal without a commercial OS would allow you to not have those constraints.
https://github.com/Frodox/execute-machine-code-from-memory/t... has several examples of how to do it.
EDIT: https://www.kvakil.me/posts/2022-10-13-optimizing-mprotect-i... is another good link that explains this.
I'd be amazed if anyone did it entirely in C. The productivity is just too low.
I have better uses of my time than write megabytes of pointer manipulation in C. That's why I prefer high level languages that can easily coexist with C for those few parts that really benefit.
Since 2006 that the projects I work on follow a similar approach, Java, C# and nowadays node as well, coupled with C++ when required.
There a lot of separate processes and subsystem that do not need to be absolutely latency optimal (or even at all), that are definitely amenable to be written on other languages. Of course when you already have a bunch of C++ programmes, things tend to end up being written in C++ even if it is not strictly necessary.
[1] e.g. https://marketswiki.com/wiki/TRADExpress ; though they've been absorbed into Nasdaq now and my visibility into CFT ended with that, no idea how much of their software is still running