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

Chapter 11: High-Frequency FPGA and Crypto

Welcome to the final chapter of this book. In the previous chapters, we saw how to optimize traditional trading to obtain a high-frequency trading (HFT) system working with a tick-to-trade latency of 5 microseconds. In the next section, we will discuss how to improve this latency to 500 nanoseconds using advanced hardware optimization. Finally, we will conclude this book by exploring the difference between traditional and cryptocurrency trading.

Our goal in this chapter is to show that the software solution we used in the past chapters has limitations in achieving latency lower than 1 microsecond. Using a specific piece of hardware, we will show you that it is possible. The second goal is to apply the optimization we explained in this book to cryptocurrencies. We will elaborate by extending the design to the cloud.

In this chapter, we will cover the following topics:

  • How Field Programmable Gate Arrays (FPGAs) hardware can...