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

C++ 14/17 memory model

In this section, we will explore the definition and specification of the memory model for modern C++ (11, 14, and 17). We will investigate what it is, why it is needed for multi-threaded applications, and the important principles of the C++ memory model.

What is a memory model?

A memory model, a.k.a. a memory consistency model, specifies the allowed and expected behavior of multi-threaded applications that interact with shared memory. The memory model is the foundation of the concurrency semantics of shared memory systems. If there are two concurrent programs, one writing to and another reading from a shared memory space, the memory model defines the set of values that a read operation is allowed to return for any combination of reads and writes.

Implementation of the memory models (C++ or otherwise) must be constrained by the rules specified by the memory models, because if the outcome cannot be inferred from the order of reads and writes, then it...