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

Who trades HFT?

The answer could be summarized in one word: everyone. From the buy side to the sell side, ECNs, and even the inter-dealer and inter-broker-dealer markets, they all use HFT. HFT is dominated by proprietary trading businesses and covers a wide range of products, including stocks, derivatives, index funds, Exchange-Traded Funds (ETFs), currencies, and fixed-income instruments. Proprietary trading businesses accounted for half of the current HFT players, multi-service broker-dealer proprietary trading desks accounted for less than half, and hedge funds accounted for the rest. Proprietary trading businesses such as KCG Holdings (created by the merger of Getco and Knight Capital) and the trading desks of major banks are among the major players in the field. There are some new types of venues (such as Dealerweb's OTR Exchange and IEX) that are looking to provide venues where dealers on the sell side feel safe to execute trades and HFTs are providing liquidity.

It is worth saying that HFTs have become major players in the market. They are also capturing retail flow. Citadel is controlling a large part of the retail flow.