When Nanoseconds Matter: Ultrafast Trading Systems in C++ CppCon 2024 Thursday, 19 September 2024 David Gross Introduction 2 • About me - Leading the Options Automated Trading

std::chrono::nanoseconds elapsed_time(uint64_t num_cpu_ticks); 1 2 3 4 8Example: “CPU ticks” time units constexpr uint64_t CPU_CLOCK_HZ = 400'000'000; // API to implement: std::chrono::nanoseconds elapsed_time(uint64_t num_cpu_ticks); 1 2 3 4 std::chrono::nanoseconds elapsed_time(uint64_t num_cpu_ticks) { using NS_PER_TICK = std::ratio<1'000'000'000, CPU_CLOCK_HZ>; return std::chrono::nanoseconds{ num_cpu_ticks * CPU_CLOCK_HZ = 400'000'000; // API to implement: std::chrono::nanoseconds elapsed_time(uint64_t num_cpu_ticks); 1 2 3 4 std::chrono::nanoseconds elapsed_time(uint64_t num_cpu_ticks) { using NS_PER_TICK

int64 In [297]: s.dt.components Out[297]: days hours minutes seconds milliseconds microseconds nanoseconds 0 1 0 0 5 0 0 0 1 1 0 0 6 0 0 0 2 1 0 0 7 0 0 0 3 1 0 0 8 0 0 0 Note: Series.dt will raise ISO8601 precision. One of ‘s’, ‘ms’, ‘us’ or ‘ns’ for seconds, milliseconds, microseconds and nanoseconds respectively. Default ‘ms’. • default_handler : The handler to call if an object cannot otherwise ‘s’, ‘ms’, ‘us’ or ‘ns’ to force timestamp precision to seconds, milliseconds, microseconds or nanoseconds respectively. • lines : reads file as one json object per line. • encoding : The encoding to

microseconds . . . . . . . . . . . . . . . . . . . . . . . . . . . . 1439 34.3.13.41pandas.Series.dt.nanoseconds . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 1439 34.3.13.42pandas.Series.dt.components . . . . . . . . . . . . . . . . . . . . . . . . . . . . 1846 34.12.1.27pandas.TimedeltaIndex.nanoseconds . . . . . . . . . . . . . . . . . . . . . . . . . 1847 34.12.1.28pandas.TimedeltaIndex.nbytes (GH14689) • Compat with dateutil==2.6.0; segfault reported in the testing suite (GH14621) • Allow nanoseconds in Timestamp.replace as a kwarg (GH14621) • Bug in pd.read_csv in which aliasing was being done

std::chrono: :high_resotution_ ctocks:now(); duration = std::chrono::duration_castnanoseconds>(stop - start); cout << << 人 ) duration.count() << << std :cout std::chrono::high resotution_ctock::now(); auto duration = std::chrono::duration_castnanoseconds>(stop - start); std: :cout << << (flLoat) duration.count() << << std::endti; forward_kinematics_internal sin & cos JointData::set_joints Perf report KDL vs. FFK (nanoseconds) 园 kpL: 350.50 国 FFk: 37.52 】 forward_kinematics sin & cos Perf report

\\\\\\\\\\\\\\\\\\\\\\\\\\Out[288]: ˓→ days hours minutes seconds milliseconds microseconds nanoseconds 0 1 0 0 5 0 0 0 1 1 0 0 6 0 0 0 2 1 0 0 7 0 0 0 3 1 0 0 8 0 0 0 Note: Series.dt will raise ISO8601 precision. One of ‘s’, ‘ms’, ‘us’ or ‘ns’ for seconds, milliseconds, microseconds and nanoseconds respectively. Default ‘ms’. • default_handler : The handler to call if an object cannot otherwise ‘s’, ‘ms’, ‘us’ or ‘ns’ to force timestamp precision to seconds, milliseconds, microseconds or nanoseconds respectively. • lines : reads file as one json object per line. • encoding : The encoding to

\\\\\\\\\\\\\\\\\\\\\\\\\\Out[288]: ˓→ days hours minutes seconds milliseconds microseconds nanoseconds 0 1 0 0 5 0 0 0 1 1 0 0 6 0 0 0 2 1 0 0 7 0 0 0 3 1 0 0 8 0 0 0 Note: Series.dt will raise ISO8601 precision. One of ‘s’, ‘ms’, ‘us’ or ‘ns’ for seconds, milliseconds, microseconds and nanoseconds respectively. Default ‘ms’. • default_handler : The handler to call if an object cannot otherwise ‘s’, ‘ms’, ‘us’ or ‘ns’ to force timestamp precision to seconds, milliseconds, microseconds or nanoseconds respectively. • lines : reads file as one json object per line. • encoding : The encoding to

int64 In [293]: s.dt.components Out[293]: days hours minutes seconds milliseconds microseconds nanoseconds 0 1 0 0 5 0 0 0 1 1 0 0 6 0 0 0 2 1 0 0 7 0 0 0 3 1 0 0 8 0 0 0 Note: Series.dt will raise ISO8601 precision. One of ‘s’, ‘ms’, ‘us’ or ‘ns’ for seconds, milliseconds, microseconds and nanoseconds respectively. Default ‘ms’. • default_handler : The handler to call if an object cannot otherwise ‘s’, ‘ms’, ‘us’ or ‘ns’ to force timestamp precision to seconds, milliseconds, microseconds or nanoseconds respectively. • lines : reads file as one json object per line. • encoding : The encoding to

autocorrelation method of Series, defaults to lag-1 autocorrelation (GH9192) • Timedelta will now accept nanoseconds keyword in constructor (GH9273) • SQL code now safely escapes table and column names (GH8986) Components(days=1L, hours=10L, minutes=11L, seconds=12L, milliseconds=100L, microseconds=123L, nanoseconds=0L) In [38]: t.components.seconds Out[38]: 12L Indexing Changes The behavior of a small sub-set DatetimeIndex iteration with a Fixed/Local offset timezone (GH8890) • Bug in to_datetime when parsing a nanoseconds using the %f format (GH8989) • io.data.Options now raises RemoteDataError when no expiry dates

DatetimeIndex iteration with a Fixed/Local offset timezone (GH8890) • Bug in to_datetime when parsing a nanoseconds using the %f format (GH8989) • io.data.Options now raises RemoteDataError when no expiry dates minutes and seconds. In contrast, the pandas Timedelta breaks out hours, minutes, microseconds and nanoseconds separately. # Timedelta accessor In [9]: tds = Timedelta(’31 days 5 min 3 sec’) In [10]: tds Out[19]: 1L In [20]: td.minutes Out[20]: 3L In [21]: td.microseconds Out[21]: 15L In [22]: td.nanoseconds Out[22]: 500L Construct a TimedeltaIndex In [23]: TimedeltaIndex([’1 days’,’1 days, 00:00:05’