Complex Arbitrage Execution in Rust: From Nanoseconds to Atomic Multi-Legs

Part 6 of the series "Complex Arbitrage Chains Between Futures and Spot"

Imagine a conductor leading an orchestra of five exchanges simultaneously. Every instrument plays its part, and not more than a few milliseconds should pass between the first note and the last. One false note—and an arbitrage opportunity turns into a loss: a filled leg on one exchange and a vanished price on another.

This is the sixth part of the series "Complex Arbitrage Chains Between Futures and Spot," and it's the most practical. We descend to the level of bytes, cache lines, and atomic operations.

Architecture of an ultra-low-latency execution system for multi-leg arbitrage: from market data reception to order submission in 2-6 ms.

1. Latency Optimization: Beyond the Kernel

To achieve sub-millisecond precision, we need to bypass traditional bottlenecks.

1.1 io_uring and Network Bypassing

io_uring provides asynchronous I/O via shared-memory rings between user-space and the kernel. Once initialized, operations like reading from multiple WebSockets require zero syscalls.

use io_uring::IoUring;

struct UringReader {
    ring: IoUring,
    buffers: Vec<Vec<u8>>, // Pre-allocated buffers: one per exchange
}

1.2 simd-json and Zero-Copy Deserialization

Most exchanges use JSON. simd-json uses SIMD instructions for parallel parsing, providing a 2-4x speedup over standard parsers.

2. Lock-Free Order Books: No Mutexes

In an HFT environment, a Mutex on an order book is a massive bottleneck. We use crossbeam-skiplist for $O(\log n)$ search without locks:

use std::sync::atomic::{AtomicU64, Ordering};
use crossbeam_skiplist::SkipMap;

struct PriceLevel {
    price: AtomicU64,
    total_qty: AtomicU64,
}

struct LockFreeOrderBook {
    bids: SkipMap<Reverse<u64>, PriceLevel>,
    asks: SkipMap<u64, PriceLevel>,
}

3. LMAX Disruptor: A Lock-Free Ring Buffer

A pre-allocated ring buffer with cache-line alignment (64 bytes) is the heart of the execution pipeline. It allows market data to flow through the OrderBook Updater, Strategy Engine, and Risk Monitor in parallel with zero copies.

4. Slippage Modeling: Layers of Certainty

We model slippage using three layers:

1. Instant LOB Analysis: Real-time analysis of the Limit Order Book (microseconds).
2. Kyle's Lambda: Price impact per unit of order flow (milliseconds).
3. Amihud ILLIQ: Long-term liquidity monitoring (days).

5. Atomic Multi-Leg Execution: The Type-State Pattern

A multi-leg arbitrage strategy is never atomic. One leg might fill while others fail. We use Rust's Type-State Pattern to make invalid state transitions errors at compile-time.

// States as types. Invalid transitions won't compile.
struct Idle;
struct Validating;
struct ExecutingLeg;
struct FullyFilled;
struct RollingBack;

struct Execution<State> {
    trade_id: u64,
    legs: Vec<TradeLeg>,
    _state: PhantomData<State>,
}

6. Risk Management: Kill Switches and Circuit Breakers

A three-level circuit breaker protects the system from catastrophic market movements:

1. Paused: 5-minute pause for local volatility spikes.
2. Halted: 15-minute halt for large 1-hour drops.
3. Shutdown: Full system shutdown if BTC drops 20% in 24 hours.

7. Performance Budget

With optimized Rust code, our latency budget looks like this:

• Network In (AWS ap-northeast-1): 0.5 - 2 ms
• Parsing/OrderBook: 2 - 10 μs
• Strategy/Risk: 5 - 15 μs
• Network Out: 0.5 - 2 ms TOTAL: 2 - 6 ms

Conclusion

Rust is the perfect language for complex arbitrage execution. It provides the low-level control of C++ with the safety guarantees required for financial systems.

This concludes our series on "Complex Arbitrage Chains." From graph algorithms and copulas to machine learning and nanosecond execution, you now have the blueprint for building a professional-grade cryptocurrency arbitrage system.

Ready to execute at scale? Clone our HFT Execution Engine on GitHub.