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

Comparing kernel space and user space

We touched upon the concepts of kernel and user space in the previous chapter. To refresh our memory, some privileged commands/system calls can only be made from kernel space, and this design is intentional so that errant user applications cannot harm the entire system by running whatever commands they want. The inefficiency from the perspective of an HFT application is that if it needs to make system calls, it requires a switch to kernel mode and possible context switches, which slows it down, especially if the system calls are made quite often on the critical code path. Let's formally wrap up the discussion in this section.

What is kernel and user space?

The kernel is the core component of all modern OSs. It has access to all the resources – memory, hardware devices, and interfaces, essentially everything on the machine. Kernel code has to be the most tested code that is allowed to run in kernel mode or kernel space to maintain...