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 context switches

A context switch in computer science is the operation or set of tasks by which all the states associated with a running process or thread is saved and the state associated with a different process or thread to be run next is restored so that it can resume where the execution left off. The principle of context switching is the cornerstone on which modern Operating Systems' (OSs') support for multitasking is based, and which gives the illusion of running a lot more processes than the number of CPU cores available in the hardware.

Types of context switches

Context switches can be grouped into different types depending on which aspect of the context switching process we look at. We will briefly discuss them as follows.

Hardware or software context switches

Context switches can be performed in hardware or software. In hardware context switching, special hardware features such as Task State Segments (TSSs) can be used to save the register...