Diy Hft System
Content
How to Rapidly Build a High Frequency Trading System
Presented By:
Today’s Hosts
Richard Tibbetts, CTO, StreamBase Systems
Richard Tibbetts is co-founder and Chief Technology Officer at StreamBase, Richard provides technical leadership for the company and leads architecture design for StreamBase’s Event Processing Platform. Richard is also responsible for furthering new StreamBase capabilities such as StreamBase’s ‘white box’ application frameworks, for example, the FX Aggregation Framework.
Chad Cook, Director Technology and Information Security, Lime Brokerage
Chad Cook leads and manages Lime Brokerage’s high-performance trading infrastructure including software development, IT and technical support. He is one of the architects of Lime Brokerage’s technology and oversees information security for the company.
Agenda
Company Overviews How to Build a High Frequency Trading System
− Step 1: Connect and subscribe to low latency market data
DEMO: Connecting and subscribing to the Lime Citrius™ Quote Delivery System
− Step 2: Normalize the low latency market data feed
DEMO: Creating a normalization application
− Step 3: Rapidly build a high frequency trading application
DEMO: Building a high frequency trading application within StreamBase Studio
− Step 4: Automate your execution management
DEMO: Connecting the trading application to Lime’s Execution Services
Joint Customer Use Case Next Steps
StreamBase: Complex Event Processing
Static Data Processing: “When was the price of BAC below its trailing 5 minute VWAP yesterday?
TIME
Complex Event Processing: “What equities are below their trailing 5 minute VWAP right now and where can I find liquidity?”
StreamBase Platform – Components
Visualization
Developer Studio
Graphical StreamSQL for developing, backtesting and deploying applications.
Input Adapter(s)
Inject streaming (market data) and static (reference data) sources.
Event Processing Server
High performance optimized engine can process events at market data speeds.
Output Adapter(s)
Send results to systems, users, user screens and databases.
Lime Brokerage
Founded in 2000 by former CSFB traders and technologists Leader in the high-frequency trading arena Developed proprietary market data, execution and risk management technology Expertise in building high-performance software, systems and networks Point-to-point connectivity to Market Centers; Dark Fiber where available
Lime Brokerage Market Data Offering
Real-time proprietary quote delivery system Flexible, streamlined toolkit simplifies receipt of market data Data normalization across venues and protocols Best performance obtained with co-located servers in Lime Data Centers on Lime Network Data and server redundancy for high availability
Lime Brokerage Execution Services
High throughput, low latency design for extremely efficient order management and scalability FIX interface – normalized access to wide variety of order types C/C++ and Java trading APIs for simplified trading Inline solution, microseconds for through-box operations Fault-tolerant trading systems
How to Build a High Frequency Trading System
Step One:
Connect and subscribe to low latency market data
How to Build a High Frequency Trading System
Step Two:
Normalize the low latency market data feed
How to Build a High Frequency Trading System
Step Three:
Rapidly build a high frequency trading application
How to Build a High Frequency Trading System
Step Four:
Automate your execution management
Recap: How to Build a HFT System
Step 1: Connect and subscribe to low latency market data
Step 2: Normalize the low latency market data feed
Step 3: Rapidly build a high frequency trading application
Step 4: Automate your execution management
Joint Customer Use Case: PhaseCapital
ime Brokerage ase adapter to L allows us to “The StreamB and FIX engine rk t data ing Citrius ma e nect our proprietary trad n d seamlessly co for both data an multiple markets system to execution.” ital O, PhaseCap ric Pritchett, CE E
Situation
− High frequency firm seeks to enhance and improve the development of high frequency trading applications and connect those applications to multiple markets for both data and execution
Solution
− StreamBase CEP + Lime Brokerage
Why Lime?
High speed low latency data feeds Access to multiple markets for data and order execution
mBase came out uation of CEP, Strea “In our eval on top.” , PhaseCapital Eric Pritchett, CEO
Why StreamBase?
Rapid application development capabilities Real-time market data feed processing High performance, scalability and availability
How to Build a High Frequency Trading System
How easy is it to configure and implement these and other algos into my HFT system?
How to Build a High Frequency Trading System
What is being done to reduce message latency?
How to Build a High Frequency Trading System
How do StreamBase and Lime approach co-location?
How to Build a High Frequency Trading System
How do StreamBase and Lime handle fault tolerance and resiliency?
How to Build a High Frequency Trading System
What asset classes are offered by Lime?
Next Steps: Meet and Download
1) MEET • 2) StreamBase has offices in New York, London and Boston
DOWNLOAD • Download a full trial version of StreamBase: http://www.streambase.com/developers-downloads.htm
3)
CONTACT • StreamBase Call: +1 866 787 6227 (North America) -or- +44 (0) 20 7002 1095 (Europe) Email: [email protected] Web: www.streambase.com Lime Brokerage Call: +1 212 824 5000 (Main Office) Email: [email protected] Web: www.limebrokerage.com
•
Presented By:
Today’s Hosts
Richard Tibbetts, CTO, StreamBase Systems
Richard Tibbetts is co-founder and Chief Technology Officer at StreamBase, Richard provides technical leadership for the company and leads architecture design for StreamBase’s Event Processing Platform. Richard is also responsible for furthering new StreamBase capabilities such as StreamBase’s ‘white box’ application frameworks, for example, the FX Aggregation Framework.
Chad Cook, Director Technology and Information Security, Lime Brokerage
Chad Cook leads and manages Lime Brokerage’s high-performance trading infrastructure including software development, IT and technical support. He is one of the architects of Lime Brokerage’s technology and oversees information security for the company.
Agenda
Company Overviews How to Build a High Frequency Trading System
− Step 1: Connect and subscribe to low latency market data
DEMO: Connecting and subscribing to the Lime Citrius™ Quote Delivery System
− Step 2: Normalize the low latency market data feed
DEMO: Creating a normalization application
− Step 3: Rapidly build a high frequency trading application
DEMO: Building a high frequency trading application within StreamBase Studio
− Step 4: Automate your execution management
DEMO: Connecting the trading application to Lime’s Execution Services
Joint Customer Use Case Next Steps
StreamBase: Complex Event Processing
Static Data Processing: “When was the price of BAC below its trailing 5 minute VWAP yesterday?
TIME
Complex Event Processing: “What equities are below their trailing 5 minute VWAP right now and where can I find liquidity?”
StreamBase Platform – Components
Visualization
Developer Studio
Graphical StreamSQL for developing, backtesting and deploying applications.
Input Adapter(s)
Inject streaming (market data) and static (reference data) sources.
Event Processing Server
High performance optimized engine can process events at market data speeds.
Output Adapter(s)
Send results to systems, users, user screens and databases.
Lime Brokerage
Founded in 2000 by former CSFB traders and technologists Leader in the high-frequency trading arena Developed proprietary market data, execution and risk management technology Expertise in building high-performance software, systems and networks Point-to-point connectivity to Market Centers; Dark Fiber where available
Lime Brokerage Market Data Offering
Real-time proprietary quote delivery system Flexible, streamlined toolkit simplifies receipt of market data Data normalization across venues and protocols Best performance obtained with co-located servers in Lime Data Centers on Lime Network Data and server redundancy for high availability
Lime Brokerage Execution Services
High throughput, low latency design for extremely efficient order management and scalability FIX interface – normalized access to wide variety of order types C/C++ and Java trading APIs for simplified trading Inline solution, microseconds for through-box operations Fault-tolerant trading systems
How to Build a High Frequency Trading System
Step One:
Connect and subscribe to low latency market data
How to Build a High Frequency Trading System
Step Two:
Normalize the low latency market data feed
How to Build a High Frequency Trading System
Step Three:
Rapidly build a high frequency trading application
How to Build a High Frequency Trading System
Step Four:
Automate your execution management
Recap: How to Build a HFT System
Step 1: Connect and subscribe to low latency market data
Step 2: Normalize the low latency market data feed
Step 3: Rapidly build a high frequency trading application
Step 4: Automate your execution management
Joint Customer Use Case: PhaseCapital
ime Brokerage ase adapter to L allows us to “The StreamB and FIX engine rk t data ing Citrius ma e nect our proprietary trad n d seamlessly co for both data an multiple markets system to execution.” ital O, PhaseCap ric Pritchett, CE E
Situation
− High frequency firm seeks to enhance and improve the development of high frequency trading applications and connect those applications to multiple markets for both data and execution
Solution
− StreamBase CEP + Lime Brokerage
Why Lime?
High speed low latency data feeds Access to multiple markets for data and order execution
mBase came out uation of CEP, Strea “In our eval on top.” , PhaseCapital Eric Pritchett, CEO
Why StreamBase?
Rapid application development capabilities Real-time market data feed processing High performance, scalability and availability
How to Build a High Frequency Trading System
How easy is it to configure and implement these and other algos into my HFT system?
How to Build a High Frequency Trading System
What is being done to reduce message latency?
How to Build a High Frequency Trading System
How do StreamBase and Lime approach co-location?
How to Build a High Frequency Trading System
How do StreamBase and Lime handle fault tolerance and resiliency?
How to Build a High Frequency Trading System
What asset classes are offered by Lime?
Next Steps: Meet and Download
1) MEET • 2) StreamBase has offices in New York, London and Boston
DOWNLOAD • Download a full trial version of StreamBase: http://www.streambase.com/developers-downloads.htm
3)
CONTACT • StreamBase Call: +1 866 787 6227 (North America) -or- +44 (0) 20 7002 1095 (Europe) Email: [email protected] Web: www.streambase.com Lime Brokerage Call: +1 212 824 5000 (Main Office) Email: [email protected] Web: www.limebrokerage.com
•
