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

Interior networks versus exterior networks

When looking at Figure 5.8, we can observe two different levels of the network. There is the level of network talking to the outside world using the prior protocols, and there is the networking within the company network (interior network). The following diagram illustrates the main difference between the exterior and internal networks in trading and exchange networks:

Figure 5.17 – Interior network and exterior network

A trading server communicating with the risk server uses the interior network, while the trading system on the left side of the preceding diagram will be connected with the exchange through the external network.

The internal network will be for the following activities:

  • Internal market data distribution
  • Signal sharing
  • Order entry

It is essential in this network to minimize hops between hosts (servers). The best system will be a system where there is a segue into systems...