Adapting the Actor Model of Concurrency for High-Frequency Trading: Synchronous Message Delivery (fast_send) and a Tick-to-Book Latency Study

Vincent Maciejewski

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Abstract: The actor model - state isolation, data-race freedom, and sequential single-message reasoning - has long been dismissed as unsuitable for high-frequency trading (HFT): actors seem to imply many threads, a mailbox per actor, and a heap-allocated message plus a context switch per interaction, overhead incompatible with a microsecond budget. This paper argues the dismissal is wrong for co-located actors, with a deployed, measured implementation: kaspar-hft, an open-source C++20 framework. Four extensions adapt the model for HFT: fast_send, a synchronous delivery mechanism in which the sending thread runs the receiver's handler inline and returns the reply as a value; actor groups, which co-schedule actors on one thread behind a shared mailbox; per-actor selectable mailbox queues; and a memory pool. fast_send has receiver transparency: the handler is written identically for synchronous and asynchronous delivery and does not depend on which was used or which thread runs it. A grouped synchronous chain runs on one thread, cutting scheduler context switches from O(N) to O(1); a thread-local call-chain test detects cyclic invocation on one thread before any lock is taken, while a cycle spread across threads deadlocks. Microbenchmarks put the synchronous round trip at tens of nanoseconds. On a live CME market-data feed (ES, NQ, ZN futures), when the socket-reader thread decodes each packet and updates the book itself, socket-to-book medians for book updates are 0.8-1.1 microseconds, and a fast_send hop is about 1% of that. The shared-queue group also yields a production/simulation duality: the same actor code runs unchanged in live trading and deterministic backtest.

Date: 2026-09, Revised 2026-10
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Citations: View citations in EconPapers (1)

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