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  • Book Overview & Buying Developing High-Frequency Trading Systems
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Developing High-Frequency Trading Systems

Developing High-Frequency Trading Systems

By : Sebastien Donadio, Sourav Ghosh, Romain Rossier
4.1 (18)
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Developing High-Frequency Trading Systems

Developing High-Frequency Trading Systems

4.1 (18)
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)
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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

Valuing time distribution

As you certainly understood with this book, HFT fights with time. This is the most critical resource we have to be sure to get our trading models right. Because we send orders that can be executed or not depending on the arrival time, we need to be confident when we build trading strategies that the time we will use to make them fits the time that the exchange is using. We will need to use time-synchronization services to accomplish this measurement accuracy.

Time-synchronization services

Before starting this section, we need to talk about getting precision time. Anywhere in the world, we can have precise time without engineering timing distribution. We use the Global Positioning System (GPS) or the Global Navigation Satellite System (GNSS), as they use atomic clocks.

The Network Time Protocol (NTP) service is one of the most widely used to synchronize the uptime of our computers with a time server. This service has a few layers called strata, as...

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