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

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Learning about memory-mapped files

In this section, we will discuss memory-mapped files, which are a neat abstraction that most modern OSs provide and have some benefits in terms of ease of use, ease of sharing between threads and/or processes, and performance compared to regular files. Due to their improved performance, they are used in HFT ecosystems, which we will discuss in the Applications of memory-mapped files section, after we investigate what they are and their benefits and drawbacks.

What are memory-mapped files?

A memory-mapped file is a mirror of a portion (or all) of a file on disk that is held in virtual memory. It has a byte-for-byte mapping in virtual memory corresponding to a file on disk, or a device, or shared memory, or anything that can be referenced through a file descriptor in UNIX/Linux-based OSs. Due to the mapping between the physical file and the memory space associated with it, it allows applications consisting of multiple threads/processes to read...

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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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Learning about memory-mapped files

What are memory-mapped files?

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