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

Summary

We discussed the implementation details of various computer science constructs such as context switching, synchronization, and concurrency primitives. We also discussed the implications that these features have on HFT applications and found that often the default behavior that works best for most applications is not the optimal setup for HFT applications.

Finally, we discussed approaches/tools/techniques/optimizations for optimal HFT ecosystem performance. We hope this chapter provides you insight into advanced HFT optimization techniques and their impact on the HFT ecosystem's performance.

For developers and traders that want to build HFT systems and trading strategies, it is imperative that you understand the use of these HFT optimization techniques. The biggest edge in HFT comes from ultra-low latency algorithms/software and to be able to compete in that space, you will need to employ these techniques.

The next chapter will continue on the subject of HFT...