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 4: HFT System Foundations – From Hardware to OS

In the previous chapter, we learned how an exchange works. We reviewed the functional components of an exchange and the matching engine. This chapter will explain the basic hardware and operating system (OS) of an HFT system.

This chapter will cover the following topics:

  • Understanding HFT computers
  • Using the OS for HFT
  • The role of compilers

We will learn in later chapters that high frequency is relative to the types of trading strategies and the assets you're trading, as well as the capabilities of the exchanges you're trading on. Achieving a tick-to-trade latency of 100 microseconds requires careful programming and a good understanding of the underlying hardware. You need to write code best to take advantage of the CPU and its memory architecture and minimize the overhead of I/O operations. This chapter focuses on getting the baseline (in terms of the hardware and OS that we should...