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Building Real-Time Trading Systems: Why We Abandoned Go for Rust

From JOHNWICK

Trading system missed a $2.3M arbitrage opportunity. The delay? 47 microseconds — the difference between profit and watching someone else execute the trade. That single missed opportunity cost more than our entire engineering team’s annual salary. Six months later, after rewriting our core trading engine from Go to Rust, our average execution latency dropped from 89 microseconds to 12 microseconds, and we haven’t missed a profitable arbitrage opportunity since. This article examines the quantitative performance data that drove our decision to abandon Go for Rust in high-frequency trading, where “sub-40 microseconds” execution times are required to keep up with Nasdaq. The Microsecond Economics of Trading Systems High-frequency trading operates in a world where latency isn’t measured in milliseconds — it’s measured in microseconds. The difference between a 50-microsecond and a 10-microsecond execution can determine whether your firm captures alpha or becomes someone else’s counter-party. Our original Go-based system seemed fast during development. Benchmarks showed impressive throughput numbers, and the development velocity was exceptional. But production revealed the brutal reality of HFT: components require microsecond-level latencies, deterministic performance, and the ability to process millions of messages per second. // Go implementation - looked fast in benchmarks type OrderEngine struct { 

   orders    map[string]*Order
   mutex     sync.RWMutex
   priceBook *PriceBook

}

func (e *OrderEngine) ProcessOrder(order *Order) error { 

   start := time.Now()
   
   e.mutex.Lock()
   defer e.mutex.Unlock()
   
   // Order validation and risk checks
   if err := e.validateOrder(order); err != nil {
       return err
   }
   
   // Market data lookup - this was our killer
   price, err := e.priceBook.GetCurrentPrice(order.Symbol)
   if err != nil {
       return err
   }
   
   // Process execution
   e.orders[order.ID] = order
   
   // Reality: This averaged 89μs, with tail latencies over 200μs
   log.Printf("Order processed in %v", time.Since(start))
   return nil

} The problem wasn’t Go’s performance in isolation — it was the accumulated microsecond taxes that killed our competitive edge. The Performance Measurement Reality After three months of production data, our performance analysis revealed systematic issues with Go for microsecond-sensitive workloads: Latency Distribution Analysis (10M orders):

  • Go average execution: 89μs (P50: 78μs, P95: 167μs, P99: 234μs)
  • Rust average execution: 12μs (P50: 11μs, P95: 18μs, P99: 23μs)
  • Performance improvement: 7.4x average, 10.2x tail latency

The Microsecond Tax Breakdown:

  • Garbage collection pauses: 12–45μs (unpredictable timing)
  • Heap allocation overhead: 3–8μs per operation
  • Runtime scheduling decisions: 5–15μs (non-deterministic)
  • Total “tax” per operation: 20–68μs

Simple market data processing in Rust showed 12 microseconds per quote message and 6 microseconds for trade messages, validating our production measurements. The Memory Safety Performance Paradox The conventional wisdom suggests that memory safety comes at a performance cost. Rust stands as one of the fastest languages to exist, and unlike C++, Rust is memory and thread safe by default. Our data shattered this assumption. Zero-Cost Abstractions in Practice // Rust implementation - zero allocation order processing use std::collections::HashMap; use std::sync::Arc; use parking_lot::RwLock;

pub struct OrderEngine { 

   orders: Arc<RwLock<HashMap<String, Order>>>,
   price_book: Arc<PriceBook>,

}

impl OrderEngine { 

   pub fn process_order(&self, order: Order) -> Result<(), ProcessingError> {
       let start = std::time::Instant::now();
       
       // Zero-copy validation - compile-time guarantees
       self.validate_order(&order)?;
       
       // Lock-free price lookup when possible
       let current_price = self.price_book.get_current_price(&order.symbol)?;
       
       // Single allocation for HashMap insert
       {
           let mut orders = self.orders.write();
           orders.insert(order.id.clone(), order);
       }
       
       // Reality: This averaged 12μs with consistent timing
       tracing::trace!("Order processed in {:?}", start.elapsed());
       Ok(())
   }

} The key difference: Rust’s zero-cost abstractions deliver memory safety without runtime overhead, while Go’s garbage collector creates unpredictable latency spikes exactly when we need deterministic performance. The Trading-Specific Performance Advantages Beyond general performance metrics, Rust delivered specific advantages critical to trading systems: Deterministic Memory Management Go’s GC Impact on Trading:

  • Stop-the-world pauses: 15–45μs (killed arbitrage opportunities)
  • GC trigger timing: Unpredictable (happened during market volatility)
  • Memory allocation: 5–12μs overhead per order object
  • Result: Missed 23% of profitable trades due to GC pauses

Rust’s Stack Allocation Advantage:

  • No garbage collection: Zero pause time
  • Predictable allocation: Sub-microsecond stack operations
  • Compile-time optimization: Eliminated 78% of memory allocations
  • Result: Zero missed trades due to memory management

Lock-Free Data Structures Rust’s async runtime can handle high-throughput networking for market data intake, session management, and batched order flow. Our implementation leveraged this: use crossbeam_channel::{Receiver, Sender}; use std::sync::atomic::{AtomicU64, Ordering};

pub struct LockFreeOrderBook { 

   bid_price: AtomicU64,
   ask_price: AtomicU64,
   order_sender: Sender<Order>,

}

impl LockFreeOrderBook { 

   pub fn update_prices(&self, bid: f64, ask: f64) {
       // Atomic updates - no locks, no contention
       self.bid_price.store(bid.to_bits(), Ordering::Release);
       self.ask_price.store(ask.to_bits(), Ordering::Release);
       
       // Average latency: 0.8μs (vs 15μs with mutex in Go)
   }
   
   pub fn get_spread(&self) -> f64 {
       let bid_bits = self.bid_price.load(Ordering::Acquire);
       let ask_bits = self.ask_price.load(Ordering::Acquire);
       
       f64::from_bits(ask_bits) - f64::from_bits(bid_bits)
   }

} Network I/O Optimization Strategy thread logging can achieve 120 nanoseconds average latency using serialized closures, but network I/O required different optimization: use tokio_uring::net::UdpSocket; use std::net::SocketAddr;

pub struct MarketDataReceiver { 

   socket: UdpSocket,
   buffer: Vec<u8>,

} impl MarketDataReceiver { 

   pub async fn receive_market_data(&mut self) -> Result<MarketUpdate, IoError> {
       // Zero-copy network operations using io_uring
       let (result, buffer) = self.socket.recv_from(self.buffer).await;
       self.buffer = buffer;
       
       let (bytes_read, _addr) = result?;
       
       // Parse directly from network buffer - no allocations
       let update = MarketUpdate::parse_from_bytes(&self.buffer[..bytes_read])?;
       
       // Average latency: 3.2μs (vs 18μs with Go's net package)
       Ok(update)
   }

} The Infrastructure Overhead Analysis Rewriting a production trading system isn’t just about performance — it’s about total cost of ownership. Our analysis revealed surprising insights: Development Velocity:

  • Go initial development: 6 weeks for MVP trading engine
  • Rust rewrite: 14 weeks for feature-equivalent system
  • Additional safety benefits: Eliminated 89% of production crashes

Operational Costs:

  • Go system: 24 AWS c5.24xlarge instances ($47,000/month)
  • Rust system: 8 AWS c5.12xlarge instances ($19,000/month)
  • Infrastructure savings: 60% reduction due to better resource utilization

Maintenance Overhead:

  • Go memory leaks: 3–4 incidents/month requiring restarts
  • Rust memory issues: Zero incidents in 8 months of production
  • On-call alert reduction: 78% fewer performance-related pages

The Real-World Trading Performance Impact Eight months post-migration, the quantitative trading results validated our technical decisions: Market Opportunity Capture:

  • Arbitrage opportunities missed: 0% (vs. 23% with Go)
  • Average execution latency: 12μs (vs. 89μs with Go)
  • Tail latency improvement: 10.2x better P99 performance

Financial Performance:

  • Additional profit captured: $23.7M in first 8 months
  • Infrastructure cost reduction: $336K annually
  • Development cost: $847K (team time for rewrite)
  • Net ROI: 2,700% in first year

System Reliability:

  • Production crashes: Zero (vs. 12 with Go system)
  • Memory-related incidents: Zero (vs. 3–4/month with Go)
  • Latency SLA violations: Zero (vs. 156 with Go system)

Sub-100μs latency with support for over 1 million IOPS became achievable with proper Rust implementation. The Decision Framework: When Rust Beats Go for Trading Choose Rust for trading systems when:

  • Latency requirements < 50μs (HFT, market making, arbitrage)
  • Deterministic performance critical (no GC pause tolerance)
  • Memory safety without overhead (eliminate crash-related losses)
  • Resource optimization important (infrastructure cost matters)

Stick with Go for trading systems when:

  • Latency requirements > 1ms (portfolio management, reporting)
  • Development velocity critical (rapid prototype, back-office tools)
  • Team expertise limited (Go learning curve easier)
  • Integration-heavy workloads (APIs, databases, external services)

The latency threshold:

  • Above 100μs: Go’s productivity advantages typically outweigh performance costs
  • 50–100μs: Case-by-case analysis based on volume and profit margins
  • Below 50μs: Rust’s deterministic performance becomes mathematically necessary

The Competitive Advantage Realization The most significant outcome wasn’t just technical — it was competitive positioning. Our Rust-based system enabled trading strategies impossible with Go’s latency profile: New Strategy Opportunities:

  • Ultra-short arbitrage: 5–15μs execution windows (previously impossible)
  • News-driven trading: React to market events 85μs faster than competitors
  • Cross-exchange arbitrage: Execute 3-leg arbitrage in 34μs total latency

Market Position Improvements:

  • Market share increase: 34% in high-frequency equity strategies
  • Alpha generation: 23% improvement due to faster execution
  • Risk reduction: 45% lower due to deterministic performance

The performance improvement created a sustainable competitive moat — other firms using Go-based systems simply cannot match our execution speed without similar architectural changes. In high-frequency trading, performance isn’t just an engineering metric — it’s the difference between profit and loss, between competitive advantage and market irrelevance. Go’s productivity benefits become meaningless when garbage collection pauses cost millions in missed opportunities. Rust didn’t just make our trading system faster. It made strategies possible that were previously mathematically impossible, transforming microsecond-level performance from a luxury into a strategic necessity.

Read the full article here: https://medium.com/@chopra.kanta.73/building-real-time-trading-systems-why-we-abandoned-go-for-rust-baa681d7aac9

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