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

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. 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 for the most liquid global futures contracts. He works as a Senior Quantitative Developer at a trading firm in Chicago. He holds a Masters 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. 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.

Genres: Finance, Programming

445 pages, Kindle Edition

Published August 18, 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).