High Frequency / Automated Trading Systems Research

This is my research into High Frequency Trading, Automated Trading Systems and Market Making.. ITs a very interesting industry.. Basically, all this is using mathematical formulas(Quants) Quantitative Analysis and High Speed Low Latency Networking and Servers to Crunch big data and place millions of sell and buys via automated algorithms per millisecond or even nanosecond.. Its all about ALPHA! (Quantitative statistical arbitrage /pairs trading techniques)

btw, Quants or financial Engineers starting wages are around $100K aprox + Experienced Quants get $300 aprox just to get out of bed.

High Frequency Trading Explained

Automated Trading Systems Explained

Market Making Explained – [youtube-http://youtu.be/veGQKcIokqo]

And

juxtaposition

Development Languages Used to create ATS

FPGA Algos
Infrastructure Design for ATM and HTF
Other Articles:
Software Used for ATM
OpenSource
IA Market Indicator and News Scanners

Others

  • MultiCharts
  • IRIX
  • Bloomber
  • Reutures
  • InfoMix
Synthetic  Exchanges and Back Testing:
  • Macquarie Bank Back Testing software
Books and Training for ATM

Australian Companies doing Automated Trading:

Trading Markets
  • CFD
  • Forex (24/ zero brokerage)
FX/FOREX Brokers
(Currency trading is the way to go as its a 24/5 week exchange with zero brokerage fee. But need to watchout for spreads and commission)
Global
Sydney
US Companies doing HFT :

Linked in Groups on Automated Trading, High Frequency Trading and Algo Trading:

Back Testing databases

Market Data

EAs, Algos and Code

MetaTrader and Strategy Trader EAs

Terms
  • scalping, swing, position, trend price-range,  trend.
  • Fibonacci prices

Quant Info

Study Plan

  1. ASX Training
  2. DailyFX Training
  3. MT4 and Strategy Trader EA Development
  4. C++ and other Linux Stuff (Clustering,etc)
  5. Read Financial Engineering Books and Trachtenberg system (Vedic Match, artofspeedmat, iqproblems.com)
  6. ATS Course
  7. Security Certification

TRADING OPPORTUNITIES SYSTEM (Brainstorm)

  • Trading Volatility

Links and Research

Example Source Code

Gossip

Linux C++ Latency Tweaks

Disable CPU C-States. This prevents the CPU from going into power saving mode, which can cause latency when the CPU needs to power back up. (Kernel parameter intel_idle.max_cstate=0)

Disable hyperthreading. This prevents other threads being scheduled onto your core and invalidating your cache. (Manually achieved by echo 0 > /sys/devices/system/node/node0/cpu1/online etc.)

Isolate CPUs from the scheduler. This prevents the scheduler from scheduling work onto isolcated CPUs, preventing your work from being scheduled off, cache invalidation etc. (isolcpus)

Pin threads to CPUs. This prevents threads from moving between cores and invalidating caches etc. (sched_setaffinity)

Lock memory pages and prefault the stack. This prevents minor page faults as memory pages are paged in. (mlockall)

Set the scheduler for realtime threads to FIFO / up the priority. This allows our threads to preempt other threads which could be on our cores (unlikely, given that we’ve used isolcpus) (sched_setscheduler)

Move interrupts onto a specific CPU (specifically ethernet IRQs local to the NUMA node that the NIC is on) (/proc/irq)

Use RDMA NICs and their associated zero copy APIs for out networking (solarflare)

Use profile guided optimization / lock-free data structures / busy reads etc

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