You're reading from Developing High-Frequency Trading Systems

Product typeBook

Published inJun 2022

PublisherPackt

ISBN-139781803242811

Edition1st Edition

Concepts

Financial Technology

Authors (3):

Sebastien Donadio

Sourav Ghosh

Romain Rossier

View More author details

Strategy making decisions on when to trade

The trading strategy is the system's brain. This is where we will put our algorithm that represents our trading concept into action. Let's take a look at the diagram:

Figure 2.7 – Trading strategy receiving data from the book builder to make a decision on when to trade

The diagram shows that the trading strategy is divided into two main components, signal and execution:

The signal component of this strategy only focuses on generating signals. However, having the intention (a signal) does not guarantee you will get the liquidity you are interested in. For instance, in HFT, it is highly likely your orders will be rejected because of the speed of your trading.
The execution part of the strategy will take care of handling the response from the market. This part decides what to do for any responses from the market. For instance, what should happen when the order is rejected? You should continue...

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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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Strategy making decisions on when to trade

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