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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

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

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Making a trading system trade with exchanges

A trading system contains a number of functional components that are responsible for trading and risk management, as well as monitoring the trading process on one or more exchanges. A trading strategy becomes a part of the trading system once it is coded. As input, you'll need price data, and as output, your orders. This will give out trading signals. We'll need gateways to finish this flow because they're the most important components.

The functional components of a trading system, the gateway's interface, and the trading system's interaction with the outside world are depicted in the following diagram:

Figure 2.3 – The functional components of a trading system

The gateways gather and send orders based on pricing and market reactions. Their primary function is to establish a link and translate data received from the outside world into the data structure needed by the trading system...

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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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