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

Measuring the performance of a Java software

JMH is a toolkit that assists you in appropriately implementing Java microbenchmarks. Let's now discuss them in detail.

Why are Java microbenchmarks difficult to create?

It's difficult to create benchmarks that accurately assess the performance of a tiny area of a bigger program. When the benchmark runs your component in isolation, the JVM or underlying hardware may apply a variety of optimizations to it. When the component is operating as part of a bigger application, certain optimizations may not be available. As a result, poorly designed microbenchmarks may lead you to assume that your component's performance is better than it actually is.

Writing a good Java microbenchmark often requires avoiding JVM and hardware optimizations that would not have been done in a genuine production system during microbenchmark execution. That's exactly what it is about. Benchmarks that correctly measure the performance of a...