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

Understanding HFT computers

It's easy to imagine you might need some specialized computer hardware for any low-latency trading strategy. This is not the case – most hardware is normal off-the-shelf hardware. How you configure the hardware is more important for most cases. Figure 4.1 shows a primary CPU, representing how a developer of an HFT system thinks about the CPU's architecture.

Figure 4.1 – Primary CPU

As we discussed in previous chapters, the purpose of a server in an HFT system is to handle baseline trading functions: receiving market data, executing algorithmic models, and sending orders to an exchange. This system has a network interface to send and receive data to and from a business or communicate with other trading systems inside the firm. Chapter 5, Networking in Motion, focuses on this aspect. Once a packet comes off the wire, the central processing unit (CPU) does the heaviest lifting. Packets will arrive in host memory...