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Developing High-Frequency Trading Systems

Developing High-Frequency Trading Systems

By : Sebastien Donadio, Sourav Ghosh, Romain Rossier
4.2 (19)
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Developing High-Frequency Trading Systems

Developing High-Frequency Trading Systems

4.2 (19)
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)
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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

Understanding the trading system

Designing a trading system for HFT trading requires much more than knowledge of programming and trading. The following chapters of this book will describe these parts in depth, which will give you an edge in designing an HFT system. In this section, we are going to talk about the fundamentals of trading system design. One of the most critical parts of designing a system is having a detailed description of the requirements. The goal of a trading system is to support your trading ideas. Any trading strategies start by getting data and end up with making a decision based on this data. A trading system will oversee collecting market data (that is, price updates) and sending orders to the exchange. Additionally, it will collect answers from the exchange containing information on the orders. These market updates could be representing any state of the orders: canceled, rejected, filled, or partially filled. It will also compute metrics measuring the performance...

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