Selected open source / market data and databases
Market data, from storage to delivery
Start with massive-speedup, Goblin Core, and Goblin Store: historical data, database internals, and the storage hierarchy. The feed and messaging projects below carry that work into live systems.
Historical market data / storage / causal replay
Read Processes compressed Massive historical data and builds timestamp-ordered stores.
Replay Advances through market events in time order, with configurable latency and bid/ask-aware order simulation.
Semantics Strategy code cannot inspect a future fill price. Orders use the bid or ask visible after the configured delay.
In context The reference system pairs this historical path with Goblin Slurp for live ingestion and RTTA for streaming analytics.
Database internals / compact indexes / C++23
Structures Redis-compatible operations with typed packed sorted sets, a Swiss hash table, and an arena-indexed B+ tree.
Measured 80.8 million INT32/FLOAT32 page counters in 2.10 GiB final process RSS in the Wikipedia replay, with full-state mapping verification.
Inspect Read the layout, workload, and results. RESP/SBE transports and Pub/Sub also support the live event bus.
Storage hierarchy / memory and I/O / C++23
Design A NUMA-aware, Memcached-compatible large-object cache and HTTP server.
Data path Keeps latency-sensitive object heads in RAM, streams warm data from SSD, and reads cold tails ahead from HDD.
Evidence Published comparisons with Memcached and extstore include workload, latency, memory, and storage-cost context.
Live feed ingestion / C++23
Ingest A native bridge consumes an authorized commercial WebSocket market-data feed and splits source frames into individual events.
Normalize Publishes JSON or SBE events into Goblin Core for downstream subscribers.
Flow control A bounded queue and explicit backpressure make the handoff between ingestion and publication part of the design.
In use The live ingestion component in my research and intraday trading reference system. Goblin Core handles the internal fan-out.
Packet captures / latency and loss
Inputs PCAP, PCAPNG, and Nasdaq-style binary captures.
Analysis Models rate, framing, queueing, and compression stages; reports per-layer latency distributions, percentiles through p99.99, and exact drop attribution.
Scope Compression compute time is not modeled. The published model makes that assumption explicit.
Messaging / multicast / Python integration
Transport An InfiniBand media extension for Aeron with UD and RC, multicast, zero-copy sends, and published hardware benchmarks.
Integration pyaeron adds native CPython bindings for IPC and UDP, an optional embedded media driver, and direct Python buffer handling.
Downstream consumers / streaming state
State 319 public causal algorithms for indicators, online models, and streaming research signals behind C++23 and Python APIs.
Semantics Updates advance one observation at a time in replay and live operation.
Evidence Published benchmarks include algorithm coverage, CPU context, and separate state-only and Python-result measurements.