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

Diving into logging and statistics

Logging (outputting information from the various HFT components in some format and using some protocol/transport) and statistics generation (offline or online) on various performance data are less glamorous aspects of the HFT business but they are quite important, nonetheless. Implemented poorly, they can also bog down the system or reduce visibility into the system, so it is important to build a proper infrastructure for that. In this section, we will discuss logging and statistics generation from the perspective of the HFT ecosystem.

The need for logging in HFT

Logging in most software applications serves to provide the users and/or developers insights into the behavior and performance, alerting them to unexpected situations that might be a concern/need attention as far as the operation of the applications is concerned. For HFT applications, especially where thousands of complex decisions are being made each second, complex software components...