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 7: HFT Optimization – Logging, Performance, and Networking

In the previous chapter, we investigated a lot of lower-level HFT optimization tasks and optimization tips and techniques. In this chapter, we will continue the discussion and look at more topics in HFT optimization. The focus here will be on kernel and user space operations and optimizations related to them. We will also explore kernel bypass as well as optimization topics related to networking, logging, and measuring performance.

Some of the operations and constructs that we will discuss will be memory, disk, and network access operations at the operating system (OS) and server hardware levels and network architectures between data centers in different physical locations (microwave/fiber options). We will also discuss topics related to logging and statistical metrics around real-time performance measurement. Including the topics covered in the last chapter, by the end of this chapter, you will have a very...