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

Designing financial protocols for HFT exchanges

Let's come back to the following diagram, introduced in Chapter 2, The Critical Components of a Trading System. It is important to understand how communication works between a trading system and an exchange:

Figure 5.12 – Communication between exchange and trading system

Two entities must speak the same language to communicate with one another. To accomplish that, they use a protocol used in networking. This protocol is utilized in trading for any exchanges (sometimes called venues). Depending on the venue, there may be a variety of protocols. The connection is possible if the protocol between a given venue and your trading system is the same. Depending on the number of venues, one venue will frequently use a given protocol, and another venue will use a different one. The trading system will need to be built on understanding the other protocols. Even though their protocols differ among venues, the...