You're reading from Developing High-Frequency Trading Systems

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Published inJun 2022

PublisherPackt

ISBN-139781803242811

Edition1st Edition

Concepts

Financial Technology

Authors (3):

Sebastien Donadio

Sourav Ghosh

Romain Rossier

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High-performance task queue

To achieve performance, any trading system must have processes and threads working in parallel. Processing many operations at the same time is a way to save time. The communication between processes is very challenging in terms of speed and complexity. As we saw in Chapter 6, HFT Optimization - Architecture and Operating System, it is easy to create a segment of shared memory and share data between them. As we know, there is a problem with the synchronization of the access to the data because shared memory doesn't have any synchronization mechanism. The temptation of using a lock is high but performance will be affected by this kind of object.

In this section, we are going to review the different Java data structures that we use in HFT. The first one is the simplest: the queue.

Queues

Queues generally have a write contention on the head and tail and have variable sizes. They are either full or empty but never operate on the middle ground where...

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Developing High-Frequency Trading Systems

Published in: Jun 2022Publisher: PacktISBN-13: 9781803242811

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.
Read more about Sebastien Donadio

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.
Read more about Sourav Ghosh

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.
Read more about Romain Rossier

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High-performance task queue

Queues

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