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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

Using cable fiber, hollow fiber, and microwave technologies

Another key (but extremely expensive) area of competition in HFT is that of setting up connectivity between data centers sitting in different geographical locations – for example, Chicago, New York, London, Frankfurt, and so on. Let's take a look at the options that enable this connectivity:

  • Cable fibers are a standard option – they have high bandwidth and extremely low packet losses, and they are slower and more expensive than some of the other options.
  • Hollow fiber is a modern technology that is an improvement on solid cable fibers and provides lower latency for signal/data propagation between data centers.
  • Microwave is another option, but it is often used for very specific purposes. It has extremely low bandwidth and suffers from packet losses in certain weather conditions and because of interference from other microwave transmissions. However, microwaves are the fastest way to transfer...

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