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 6: HFT Optimization – Architecture and Operating System

In the previous chapter, we were presented with an outline of how a computer works with a focus on the main components that relate to HFT. In this chapter, we will discuss some of the commonly employed computer science and architecture optimization techniques specifically as they relate to HFT applications. We will provide some context with the details of how certain specific operations work in terms of what goes on under the hood, why they are inefficient, slow, and problematic for HFT software, and what techniques are used to get around it.

Some of the operations and constructs we will discuss are context switching between threads, locks to concurrently access shared data structures, and memory management/optimization motivations and techniques.

HFT is primarily an arms race where each HFT competitor is trying to execute trades as quickly as possible. So, getting to grips with the computer science fundamentals...