Book Image

Developing High-Frequency Trading Systems

By : Sebastien Donadio, Sourav Ghosh, Romain Rossier
5 (1)
Book Image

Developing High-Frequency Trading Systems

5 (1)
By: Sebastien Donadio, Sourav Ghosh, Romain Rossier

Overview of this book

The world of trading markets is complex, but it can be made easier with technology. Sure, you know how to code, but where do you start? What programming language do you use? How do you solve the problem of latency? This book answers all these questions. It will help you navigate the world of algorithmic trading and show you how to build a high-frequency trading (HFT) system from complex technological components, supported by accurate data. Starting off with an introduction to HFT, exchanges, and the critical components of a trading system, this book quickly moves on to the nitty-gritty of optimizing hardware and your operating system for low-latency trading, such as bypassing the kernel, memory allocation, and the danger of context switching. Monitoring your system’s performance is vital, so you’ll also focus on logging and statistics. As you move beyond the traditional HFT programming languages, such as C++ and Java, you’ll learn how to use Python to achieve high levels of performance. And what book on trading is complete without diving into cryptocurrency? This guide delivers on that front as well, teaching how to perform high-frequency crypto trading with confidence. By the end of this trading book, you’ll be ready to take on the markets with HFT systems.
Table of Contents (16 chapters)
1
Part 1: Trading Strategies, Trading Systems, and Exchanges
5
Part 2: How to Architect a High-Frequency Trading System
10
Part 3: Implementation of a High-Frequency Trading System

Part 1: Trading Strategies, Trading Systems, and Exchanges

By the end of this introduction, you will have a quick overview of the history of high-frequency trading (HFT). You will know about the market participants, the fundamental HFT requirements (low latency connectivity and infrastructure), the trading time horizons in HFT versus non-HFT, and the holding periods/position management (HFT versus ultra HFT). We will also talk about the places for HFT. This book is not about the business of trading or HFT; it is about how to implement an HFT system concretely by using Java, C++, and Python. You will know how a trading system works and which trading strategies you can run.

This part comprises the following chapters:

  • Chapter 1, Fundamentals of a High-Frequency Trading System
  • Chapter 2, The Critical Components of a Trading System
  • Chapter 3, Understanding the Trading Exchange Dynamics