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

Introducing the basics of Java

Java was created by Sun Microsystems in 1991. The first public version was released 5 years later. The main purpose of Java was to be portable and highly performant in internet applications. Unlike C++, Java is platform independent. The JVM ensures any architecture and operating system's portability.

Figure 9.1 shows the compilation chain for Java. We can observe that the Java compiler doesn't produce an executable but a bytecode. JVM will run this bytecode to run the software.

Figure 9.1 – Java compilation chain

We recommend reading the Packt book Java Programming for Beginners, written by Mark Lassof, to learn the characteristics of this language in detail. In this chapter, we will talk about the factors that will affect the performance of HFT. As we described for C++, one critical component is the memory management structure. Unlike C++, where the developer must handle memory manually, Java has a garbage...