Developing High-Frequency Trading Systems: Learn how to implement high-frequency trading from scratch with C++ or Java basics

by Sebastien Donadio, Sourav Ghosh, Romain Rossier

Use your programming skills to create and optimize high-frequency trading systems in no time with Java, C++, and Python

Key FeaturesLearn how to build high-frequency trading systems with ultra-low latencyUnderstand the critical components of a trading systemOptimize your systems with high-level programming techniquesBook DescriptionThe world of trading markets is complex, but it can be made easier with technology. Sure, you know how to code, but where do you start? What programming language do you use? How do you solve the problem of latency? This book answers all these questions. It will help you navigate the world of algorithmic trading and show you how to build a high-frequency trading (HFT) system from complex technological components, supported by accurate data.

Starting off with an introduction to HFT, exchanges, and the critical components of a trading system, this book quickly moves on to the nitty-gritty of optimizing hardware and your operating system for low-latency trading, such as bypassing the kernel, memory allocation, and the danger of context switching. Monitoring your system’s performance is vital, so you’ll also focus on logging and statistics. As you move beyond the traditional HFT programming languages, such as C++ and Java, you’ll learn how to use Python to achieve high levels of performance. And what book on trading is complete without diving into cryptocurrency? This guide delivers on that front as well, teaching how to perform high-frequency crypto trading with confidence.

By the end of this trading book, you’ll be ready to take on the markets with HFT systems.

What you will learnUnderstand the architecture of high-frequency trading systemsBoost system performance to achieve the lowest possible latencyLeverage the power of Python programming, C++, and Java to build your trading systemsBypass your kernel and optimize your operating systemUse static analysis to improve code developmentUse C++ templates and Java multithreading for ultra-low latencyApply your knowledge to cryptocurrency tradingWho this book is forThis book is for software engineers, quantitative developers or researchers, and DevOps engineers who want to understand the technical side of high-frequency trading systems and the optimizations that are needed to achieve ultra-low latency systems. Prior experience working with C++ and Java will help you grasp the topics covered in this book more easily.

Table of ContentsFundamentals of a High-Frequency Trading SystemThe Critical Components of a Trading SystemUnderstanding the Trading Exchange DynamicsHFT System Foundations – From Hardware to OSNetworking in MotionHFT Optimization - Architecture and Operating SystemHFT Optimization – Logging, Performance, and NetworkingC++ – The Quest for Microsecond LatencyJava and JVM for Low-Latency SystemsPython – Interpreted but Open to High PerformanceHigh Frequency FPGA and Crypto

Genres: Finance, Programming

320 pages, Kindle Edition

Published June 17, 2022

Reviews

[Michail Almyros · Rating 5 out of 5]

I really enjoyed reading this book as it covers a lot of aspects of high frequency trading. The book is well written and is directed to people that are starting now and they want to learn what is involved with building and working with HFT systems.

Unfortunately there are no actual coding examples so a lot of the techniques and ideas are very theoretical you will have to learn them separately.

[xyz · Rating 3 out of 5]

The book provides a superficial overview of the critical components necessary for building HFT systems, including low-latency optimization, system architecture, and performance monitoring.

**Strengths:**
- **Comprehensive Coverage:** The book covers a wide range of topics essential for understanding and developing HFT systems. It delves into the intricacies of hardware and software requirements, algorithmic trading strategies, and the importance of backtesting and simulation.
- **Programming Focus:** It offers practical insights into using programming languages such as C++, Java, and Python to achieve ultra-low latency in trading systems. This focus is beneficial for software engineers and developers looking to apply their coding skills in the financial domain.

**Weaknesses:**
- **Editing Issues:** The book suffers from numerous mistakes, repetitions, and typos, which can distract from the learning experience. These issues suggest a need for thorough editing and revision to improve readability and coherence.
- **Lack of Depth:** Many subjects are introduced briefly without sufficient explanation or exploration. This lack of depth can leave readers wanting more detailed information on complex topics.
- **Potential Unrealized:** While the book has sections that point readers toward further research, it often falls short of fully capitalizing on its potential to be a definitive guide in the field.

Overall, the book provides useful insights into HFT and can serve as a starting point for proactive readers willing to conduct additional research. However, its editorial shortcomings and lack of depth in certain areas prevent it from being a standout resource. With a more rigorous edit and expansion on key topics, it could better fulfill its potential as a comprehensive guide for high-frequency trading enthusiasts.

[Max Orel · Rating 2 out of 5]

Very observational info is provided in the book. If you want to understand basic concepts or refresh high-level knowledge, then it makes sense to read it diagonally. Otherwise, it doesn't worth your time.

[Jia · Rating 4 out of 5]

Useful to learn the generic concepts of HFT but it does not go into specific details (to be honest any section in the book can be expanded to a book).