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Developing High-Frequency Trading Systems

You're reading from Developing High-Frequency Trading Systems

Product type Book

Published in Jun 2022

Publisher Packt

ISBN-13 9781803242811

Pages 320 pages

Edition 1st Edition

Languages

Concepts

Financial Technology

Authors (3):

Sebastien Donadio

Sourav Ghosh

Romain Rossier

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Table of Contents (16) Chapters

Preface

1. Part 1: Trading Strategies, Trading Systems, and Exchanges

2. Chapter 1: Fundamentals of a High-Frequency Trading System

3. Chapter 2: The Critical Components of a Trading System

4. Chapter 3: Understanding the Trading Exchange Dynamics

5. Part 2: How to Architect a High-Frequency Trading System

6. Chapter 4: HFT System Foundations – From Hardware to OS

7. Chapter 5: Networking in Motion

8. Chapter 6: HFT Optimization – Architecture and Operating System

9. Chapter 7: HFT Optimization – Logging, Performance, and Networking

10. Part 3: Implementation of a High-Frequency Trading System

11. Chapter 8: C++ – The Quest for Microsecond Latency

12. Chapter 9: Java and JVM for Low-Latency Systems

13. Chapter 10: Python – Interpreted but Open to High Performance

14. Chapter 11: High-Frequency FPGA and Crypto

15. Other Books You May Enjoy

Summary

In this chapter, we developed a conceptual model of how computers work and how to think about the overall performance impact of the various components. Each of the multiple pieces of hardware and software must work in a manner ideal for a trading system. That often requires an understanding of how the hardware and software interact so that the negative impact of inefficient algorithms or interactions can be circumvented or optimized.

Then we are using the fundamentals developed in this chapter as a foundation. The following chapters will build on optimizing the OS, kernel, and application for HFT systems. This will include reducing the impact of context switching, techniques for safely accessing shared data structures, and other means of mitigating inefficient components of the underlying hardware and software.

The next chapter will focus on networking. We will explain the role of a network card for HFT systems and how communication with the exchange needs to be optimized...

The rest of the chapter is locked

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Authors (3)

Sebastien Donadio

Sebastien Donadio is the Chief Technology Officer at Tradair, responsible for leading the technology. He has a wide variety of professional experience, including being head of software engineering at HC Technologies, partner and technical director of a high-frequency FX firm, a quantitative trading strategy software developer at Sun Trading, working as project lead for the Department of Defense. He also has research experience with Bull SAS, and an IT Credit Risk Manager with Socit Gnrale while in France. He has taught various computer science courses for the past ten years in the University of Chicago, NYU and Columbia University. His main passion is technology but he is also a scuba diving instructor and an experienced rock-climber.

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Sourav Ghosh

Sourav Ghosh has worked in several proprietary, high-frequency algorithmic trading firms over the last decade. He has built and deployed extremely low latency, high-throughput automated trading systems for trading exchanges around the world, across multiple asset classes. He specializes in statistical arbitrage market-making and pairs trading strategies with the most liquid global futures contracts. He is currently the vice president at an investment bank based in São Paulo, Brazil. He holds a master's in computer science from the University of Southern California. His areas of interest include computer architecture, FinTech, probability theory and stochastic processes, statistical learning and inference methods, and natural language processing.

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Romain Rossier

Romain Rossier brings 19+ years of experience mostly as a Software Architect in the financial industry, specializing in low latency, high performance java software design and development. He is currently the Chief Architect for the HCTech FX Proprietary Trading engine. He also built and led the software development team at HCTech, where he oversaw and developed the HFT platform architecture for FX, Futures and Fixed Income. Prior to HCTech, Romain was Director of the Currenex lab where he led the team responsible for the development of the Currenex Intelligent Pricing System. Romain holds a Master of Science in Communication Systems from the Swiss Federal Institute of Technology in Lausanne.

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