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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
Authors (3):
Sebastien Donadio Sebastien Donadio
Profile icon Sebastien Donadio
LinkedIn
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.
See other products by Sebastien Donadio
Sourav Ghosh Sourav Ghosh
Profile icon Sourav Ghosh
LinkedIn
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.
See other products by Sourav Ghosh
Romain Rossier Romain Rossier
Profile icon Romain Rossier
LinkedIn
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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Table of Contents (16) Chapters

Preface Part 1: Trading Strategies, Trading Systems, and Exchanges
Chapter 1: Fundamentals of a High-Frequency Trading System Chapter 2: The Critical Components of a Trading System Chapter 3: Understanding the Trading Exchange Dynamics Part 2: How to Architect a High-Frequency Trading System
Chapter 4: HFT System Foundations – From Hardware to OS Chapter 5: Networking in Motion Chapter 6: HFT Optimization – Architecture and Operating System Chapter 7: HFT Optimization – Logging, Performance, and Networking Part 3: Implementation of a High-Frequency Trading System
Chapter 8: C++ – The Quest for Microsecond Latency Chapter 9: Java and JVM for Low-Latency Systems Chapter 10: Python – Interpreted but Open to High Performance Chapter 11: High-Frequency FPGA and Crypto Other Books You May Enjoy

Summary

This chapter showed that JVM eases software developers' lives but impedes a trading system's performance. We demonstrated that by understanding how the JVM behaves under the hood, following good coding practice, and tuning the JVM, we could use Java as a serious programming language candidate for HFT. We studied in detail how to measure performance with Java. We know that measuring the execution time is the only evidence that code performs better after optimization. As we did with C++, we introduced high-performance data structures helping to get a performant code. We combined these data structures with the use of threads and thread pools. We concluded by discussing logging and database access, which are vital in HFT.

C++ and Java are the most used languages in HFT. The next chapter will talk about another programming language: Python. We will see how Python can be used in HFT and run fast using external libraries.

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Authors (3)

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Profile icon Sebastien Donadio
LinkedIn
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
See other products by Sebastien Donadio
Profile icon Sourav Ghosh
LinkedIn
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
See other products by Sourav Ghosh
Profile icon Romain Rossier
LinkedIn
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
See other products by Romain Rossier
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