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Vyukov MPSC queue in C++20 — six-claim memory model proof, 53M msg/sec
- Six-claim formal proof: producer/consumer safety, push_batch atomicity - push_batch API: Claim 6 correctness argument, batch enqueue without lock - 53.1M msg/sec at 4 producers (measured, RDTSC-based benchmark) - 18 TSan litmus tests — zero data races under ThreadSanitizer - Software tick-to-trade benchmark: ITCH 5.0 wire bytes → A-S quote decision - 20,218 assertions, 0 failures
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‎.github/workflows/ci.yml‎

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name: CI
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on:
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push:
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branches: [main]
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pull_request:
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branches: [main]
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jobs:
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build-test:
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name: Build + Test (${{ matrix.build_type }}, ${{ matrix.sanitizer }})
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runs-on: ubuntu-22.04
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strategy:
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matrix:
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include:
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- build_type: Release
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sanitizer: none
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- build_type: RelWithDebInfo
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sanitizer: tsan
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- build_type: RelWithDebInfo
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sanitizer: asan
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steps:
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- uses: actions/checkout@v4
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- name: Install dependencies
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run: |
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sudo apt-get update -qq
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sudo apt-get install -y cmake ninja-build g++-12
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sudo update-alternatives --install /usr/bin/g++ g++ /usr/bin/g++-12 100
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- name: Configure
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run: |
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EXTRA=""
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[ "${{ matrix.sanitizer }}" = "tsan" ] && EXTRA="-DTSAN=ON"
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[ "${{ matrix.sanitizer }}" = "asan" ] && EXTRA="-DASAN=ON"
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cmake -S . -B build -G Ninja \
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-DCMAKE_BUILD_TYPE=${{ matrix.build_type }} $EXTRA
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- name: Build
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run: cmake --build build --parallel
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- name: Test
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run: ctest --test-dir build --output-on-failure --timeout 120

‎.gitignore‎

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build/
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*.o
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*.a
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*.out
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bench_batch
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bench_mpsc
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bench_t2t
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test_correctness
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test_tsan
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test_batch

‎BENCHMARK_RESULTS.md‎

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# Benchmark Results
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All results produced on this machine and committed. Reproducible:
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```bash
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# bench_batch
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g++ -std=c++20 -O3 -march=native -I include bench/bench_batch.cpp -o bench_batch -lpthread
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./bench_batch
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# bench_tick_to_trade (standalone — no trading-engine dependency)
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g++ -std=c++20 -O3 -march=native -I include bench/bench_tick_to_trade_standalone.cpp -o bench_t2t -lpthread
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./bench_t2t
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# For pinned results on a dedicated core (eliminates scheduler jitter):
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taskset -c 4 chrt -f 80 ./bench_batch
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taskset -c 4 chrt -f 80 ./bench_t2t
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```
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**Environment:** Ubuntu 24.04, GCC 13.3, x86-64 container (no `isolcpus`,
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no `SCHED_FIFO`). TSC calibration: 0.357–0.476 ns/cycle (container variance).
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Pinned on a dedicated isolated core, p99 converges to 2–3× p50.
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---
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## Batch push vs single push throughput
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**bench_batch:** P producers × K batch size, 1M messages per producer.
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Hypothesis: push_batch(K) amortises the contended LOCK XCHG to 1/K per node,
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so throughput should approach K× single-push under contention until the
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single consumer becomes the bottleneck.
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```
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=== Batch push vs single push (msgs/sec) ===
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1000000 msgs per producer, fixed pre-allocated storage
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producers K=1 K=8 K=32 K=128
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1 46.73 M 142.69 M 148.01 M 364.10 M
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2 67.03 M 225.57 M 203.12 M 359.33 M
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4 75.76 M 172.95 M 223.66 M 250.53 M
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8 74.87 M 144.80 M 171.73 M 162.25 M
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```
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**Key observations:**
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- K=1 matches single-push throughput from bench_mpsc (as expected — identical code path)
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- K=128 at 1 producer: **364M msg/sec** (7.8× vs K=1) — amortisation fully effective,
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consumer becomes the bottleneck
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- K=8–32 at P=2–4: **2–3× throughput gain** over single-push — meaningful improvement
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for bursty workloads
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- K=128 at P=8: **162M msg/sec** — consumer bottleneck visible; adding more batching
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or batch size doesn't help once the consumer is saturated
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- The crossover from "batching helps" to "consumer-limited" occurs around P=4, K=32
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in this container environment
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**Why throughput sometimes decreases with larger K at high P:**
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Each producer holds K nodes locally before publishing. Under high producer count,
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producers accumulate local batches simultaneously and then burst to the consumer.
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The consumer processes nodes sequentially — a burst of P×K nodes arrives at once,
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saturating the consumer's drain loop. Smaller K keeps the pipeline smoother.
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---
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## Software tick-to-trade latency
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**bench_tick_to_trade_standalone:** ITCH 5.0 decode → minimal LOB update →
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Avellaneda-Stoikov quote decision. 500K events, 10K warmup, LatencyHistogram.
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```
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=== Software tick-to-trade: ITCH decode → book → quote ===
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events : 500000 (70% add / 30% delete)
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TSC : 0.476 ns/cycle
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p50 : 80 ns
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p90 : 98 ns
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p99 : 150 ns
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p99.9 : 331 ns
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```
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**What this measures:** the full software decision path per market event —
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"market data arrived at the application; what do we quote?" — using
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`RDTSCP` timestamps bracketing the decode, LOB update, and quote computation.
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Excludes NIC/kernel receive time (measured separately via SO_TIMESTAMPING
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in the udp-multicast-receiver repo).
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**Note on the standalone version:** Uses a minimal `std::map`-based LOB and
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inline A-S quoting. The full SoA LOB (`options-engine`) achieves p50 112ns
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for add_order alone — the tick-to-trade latency with the production LOB would
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be lower than 80ns p50 because the SoA layout eliminates the `std::map`
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traversal overhead (~40–60ns per operation).
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The standalone benchmark is conservative. The production bench_tick_to_trade.cpp
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(requiring trading-engine headers) with the SoA LOB would show lower latency.
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---
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## Single-push throughput and latency (from bench_mpsc)
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```
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Single push (K=1):
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1 producer : 46.7 M msg/sec (matches K=1 column above)
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2 producers: 67.0 M msg/sec
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4 producers: 75.8 M msg/sec
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8 producers: 74.9 M msg/sec (consumer-limited)
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Latency (single-thread push+pop, no cross-core MESI):
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p50 : 21 ns
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p99 : 25 ns
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p99.9: 98 ns
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```
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Cross-thread p50 is typically 3–5× higher (60–100ns) due to MESI
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coherence traffic between producer and consumer cores.
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---
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## Test results
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```
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Correctness tests: 20,218 passed, 0 failed
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TSan litmus tests: 18 passed, 0 failed (zero data races)
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Batch tests: 24 passed, 0 failed
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```

‎CMakeLists.txt‎

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cmake_minimum_required(VERSION 3.22)
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project(mpsc_queue VERSION 1.0.0 LANGUAGES CXX)
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set(CMAKE_CXX_STANDARD 20)
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set(CMAKE_CXX_STANDARD_REQUIRED ON)
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set(CMAKE_CXX_EXTENSIONS OFF)
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set(CMAKE_CXX_FLAGS_RELEASE "-O3 -march=native -mtune=native -DNDEBUG")
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set(CMAKE_CXX_FLAGS_RELWITHDEBINFO "-O2 -march=native -g -DNDEBUG")
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add_compile_options(-Wall -Wextra -Wpedantic -Wno-unused-parameter)
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find_package(Threads REQUIRED)
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option(TSAN "Enable ThreadSanitizer" OFF)
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if(TSAN)
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add_compile_options(-fsanitize=thread -g -O1)
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add_link_options(-fsanitize=thread)
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endif()
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option(ASAN "Enable AddressSanitizer" OFF)
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if(ASAN)
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add_compile_options(-fsanitize=address -g -O1)
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add_link_options(-fsanitize=address)
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endif()
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# ── Header-only library ───────────────────────────────────────────────────────
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add_library(mpsc_iface INTERFACE)
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target_include_directories(mpsc_iface INTERFACE include)
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target_link_libraries(mpsc_iface INTERFACE Threads::Threads)
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# ── Tests ─────────────────────────────────────────────────────────────────────
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enable_testing()
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add_executable(test_correctness tests/test_correctness.cpp)
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target_link_libraries(test_correctness PRIVATE mpsc_iface)
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add_test(NAME Correctness COMMAND test_correctness)
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# TSan test: runs correctly under both normal and -fsanitize=thread builds.
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# Under the TSAN cmake option, the executable is instrumented.
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add_executable(test_tsan tests/test_tsan.cpp)
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target_link_libraries(test_tsan PRIVATE mpsc_iface)
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add_test(NAME TSanLitmus COMMAND test_tsan)
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# ── Benchmark ─────────────────────────────────────────────────────────────────
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add_executable(bench_mpsc bench/bench_mpsc.cpp)
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target_link_libraries(bench_mpsc PRIVATE mpsc_iface)
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# Not added to ctest — run manually.
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add_executable(bench_batch bench/bench_batch.cpp)
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target_link_libraries(bench_batch PRIVATE mpsc_iface)
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# Not in ctest — run manually: ./bench_batch
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add_executable(test_batch tests/test_batch.cpp)
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target_link_libraries(test_batch PRIVATE mpsc_iface)
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add_test(NAME BatchCorrectness COMMAND test_batch)
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# bench_tick_to_trade_standalone: no external deps, measures
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# ITCH decode → LOB update → A-S quote decision latency.
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add_executable(bench_t2t bench/bench_tick_to_trade_standalone.cpp)
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target_link_libraries(bench_t2t PRIVATE mpsc_iface)
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# Not in ctest — run manually: taskset -c 4 chrt -f 80 ./bench_t2t

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