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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Important protocol concepts

When two devices need to communicate, once they have a way to transfer a signal from the sender to the recipient, we need to have protocols setting the communications rules. A protocol is like a language that two components agree to use in the system to communicate; it sets the rule of communication. The following diagram represents a network infrastructure of exchanges and trading systems:

Figure 5.8 – Trading network infrastructure of trading exchange and trading servers

In Chapter 2, The Critical Components of a Trading System, and Chapter 3, Understanding the Trading Exchange Dynamics, we saw that the trading exchange, market data-feed handlers, and market participants are the three main components of a conventional trading system.

Through gateway servers, the matching receives orders from market participants. The feed handlers get their data from the stock exchange and deliver it to interested market players with...

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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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