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

Reducing latencies with FPGA

In this section, we will look at the Field Programmable Gate Array (FPGA), investigate the evolution of the fierce competition of speed in HFT, and then discuss the motivation for using FPGAs in modern HFT. We will also explore how an FPGA itself works, the design of an FPGA-based trading system, and the advantages and disadvantages of using FPGAs in HFT systems.

Evolution of the fierce competition of speed in HFT

As we have seen in this book, HFT has received a lot of attention, become extremely popular, and also grown to become a significant component of all financial market liquidity and trading. We have also seen that HFT (as the name implies) is all about speed/latency – the speed at which HFT systems and algorithms can analyze market data information, send order requests, and execute trades.

To summarize, latency refers to the total time to travel from one point to another for a data packet. However, specifically in trading, latency...