What this book covers
Chapter 1, Fundamentals of a High-Frequency Trading System, gives an overview of the history of high-frequency trading. You will learn about the market participants, the fundamental HFT requirements (low latency connectivity and infrastructure), the trading time horizons in HFT versus non-HFT, and the holding periods/position management (HFT versus Ultra HFT). We will also detail HFT-specific strategies to make money.
Chapter 2, The Critical Components of a Trading System, explains in-depth how a trading system works. You will learn how the market data gets into the system, and the different functionalities needed to handle the data and send an order to the exchange.
Chapter 3, Understanding the Trading Exchange Dynamics, introduces how trading exchanges are a part of the microstructure of markets. We will start by giving the general infrastructure of an exchange, and we will talk about how the matching engine works and how the orders are matched and promoted to all the market participants.
Chapter 4, HFT System Foundations – From Hardware to OS, clarifies how the hardware and OS work together. You will have a clear understanding of the functions of the software interaction with the OS and the hardware. This chapter will go from the processor to the trading system, explaining all the layers between including the OS, networking, OS scheduler, and memory.
Chapter 5, Networking in Motion, expresses how networking benefits HFT. You will have a clear understanding of the functions of the network stack and its use when communicating between a trading system and an exchange.
Chapter 6, HFT Optimization – Architecture and Operating System, expounds on creating a HFT system from a regular trading system. This section will cover many modern techniques to achieve optimal low latency performance for HFT applications specifically. We will talk about the OS features and its scheduler, and we will do a deep dive into the kernel function of the OS.
Chapter 7, HFT Optimization – Logging, Performance, and Networking, covers a vital part of trading systems: logging and networking. You will understand how logging helps to monitor an HFT system, and we will learn how to make it efficient in a context of HFT. Finally, we will cover how to use networking to optimize communication with trading exchanges.
Chapter 8, C++ – The Quest for Microsecond Latency, defines the use of C++ in a context of an ultra-low latency system by optimizing cache, memory, and code execution. You will learn about modern C++ features and techniques to write ultra-low latency code efficiently.
Chapter 9, Java and JVM for Low-Latency Systems, details the use of Java in a context of an ultra-low latency system by optimizing garbage collection, communication, and data structure.
Chapter 10, Python – Interpreted but Open to High Performance, illustrates how to use Python in an HFT system. This chapter explains how to create and use HFT libraries in Python.
Chapter 11, High-Frequency FPGA and Crypto, depicts how to use field programmable gate array (FPGA) to create an even faster HFT system. It will introduce building an HFT system for crypto in the cloud.