دانلود کتاب Developing High-Frequency Trading Systems: Learn How to Implement High-Frequency Trading From Scratch With C++ or Java Basics

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Cover Title Page Copyright and Credits Contributors Table of Contents Preface Part 1: Trading Strategies, Trading Systems, and Exchanges Chapter 1: Fundamentals of a High-Frequency Trading System History of HFT The post-1930s era The modern era Why have HFT? What makes HFT so different from regular trading? Effect of dark pools Who trades HFT? What do I need to start an HFT? What are HFT strategies? Asset classes Liquidity Tick-by-tick data and data distribution Liquidity rebates Matching engine Market making Scalping Statistical arbitrage Latency arbitrage Impact of news Momentum ignition Rebate strategies Pinging Illegal activities Summary Chapter 2: The Critical Components of a Trading System Understanding the trading system Trading system architecture Gateways connecting to trading exchanges Making a trading system trade with exchanges Examining the API for communication Order book management Order book considerations Strategy making decisions on when to trade The OMS Critical components Non-critical components Command and control Services Summary Chapter 3: Understanding the Trading Exchange Dynamics Architecting a trading exchange for handling orders at a large scale History of trading exchanges Understanding features of an exchange Exchange architecture General order book and matching engine Best price scenario Partial fill scenario No match scenario Multiple orders with the same price Summary Part 2: How to Architect a High-Frequency Trading System Chapter 4: HFT System Foundations – From Hardware to OS Understanding HFT computers CPUs, from multi-processor to multi-core Main memory or RAM Shared memory I/O devices Using the OS for HFT systems User space and kernel space Process scheduling and CPU resource management Memory management Paged memory and page tables System calls Threading Interruption management The role of compilers Executable file formats Static versus dynamic linking Summary Chapter 5: Networking in Motion Understanding networking in HFT systems Learning about network conceptual models Network communications between systems in HFT Comprehending how switches work Important protocol concepts Using Ethernet for HFT communication Using IPv4 as a network layer UDP and TCP for the transport layer Designing financial protocols for HFT exchanges FIX protocol Interior networks versus exterior networks Understanding the packet life cycle Comprehending the packet life in the send/receive (TX/RX) path Software layer receiving the packet Monitoring the network Packet capture and analysis Valuing time distribution Time-synchronization services Summary Chapter 6: HFT Optimization – Architecture and Operating System Performance mental model Understanding context switches  Types of context switches Why are context switches good Steps and operations involved in a context switch operation Why are context switches bad for HFT? Techniques to avoid or minimize context switches Building lock-free data structures  When/why are locks needed (non-HFT applications) Types of synchronization mechanisms Problems and inefficiencies with using locks Pre-fetching and pre-allocating memory Memory hierarchy Pre-fetching based alternatives to boost performance Dynamic memory allocation Pre-allocation-based alternatives to dynamic memory allocation Summary Chapter 7: HFT Optimization – Logging, Performance, and Networking Comparing kernel space and user space  What is kernel and user space? Investigating performance – kernel versus user space Using kernel bypass Understanding why kernel bypass is the alternative Presenting kernel bypass latencies Learning about memory-mapped files Using cable fiber, hollow fiber, and microwave technologies  Evolution from cable fiber to hollow fiber to microwave How hollow fiber works How microwave works Diving into logging and statistics The need for logging in HFT The need for online/live statistics computation in HFT Measuring performance Motivation for measuring performance Linux tools for measuring performance Custom techniques for measuring performance Summary Part 3: Implementation of a High-Frequency Trading System Chapter 8: C++ – The Quest for Microsecond Latency C++ 14/17 memory model  What is a memory model? The need for a memory model The C++ 11 memory model and its rules C++ memory model principles Removing runtime decisions  Motivation for removing runtime decisions Virtual functions Performance penalties Dynamic memory allocation  Runtime performance penalty Using constexpr efficiently {ICON2} Exceptions impeding performance {ICON2} Templates reducing the runtime  What are templates? Template specialization {ICON2} Why use templates? Disadvantages of templates Performance of templates Standard Template Library (STL) Static analysis What is C++ static analysis? The need for static analysis Types of static analysis Steps in static analysis Benefits and drawbacks of static analysis Use case-Building an FX high-frequency trading system Summary Chapter 9: Java and JVM for Low-Latency Systems Introducing the basics of Java Reducing the impact of the GC  What to do to keep GC events low and fast Warming up the JVM  Tiered compilation in JVM Optimizing the JVM for better startup performance Measuring the performance of a Java software Why are Java microbenchmarks difficult to create? Real-time performance measures Java threading  Using a thread pool/queue with threads High-performance task queue  Queues Circular buffer LMAX disruptor Logging and DB access External or internal thread? Summary Chapter 10: Python – Interpreted but Open to High Performance Introducing Python Making use of Python for analytics Why is Python slow? How do we use libraries in Python? Python and C++ for HFT Using C++ in Python Using Python with C++ Boost.Python library Using ctypes/CFFI to accelerate Python code SWIG Improving the speed of Python code in HFT Summary Chapter 11: High-Frequency FPGA and Crypto Reducing latencies with FPGA  Evolution of the fierce competition of speed in HFT Introduction to FPGA Diving into FPGA trading systems Advantages of FPGA trading systems Disadvantages of FPGA trading systems Final words on FPGAs Exploring HFT with cryptocurrencies What is crypto? How do crypto transactions work? What is a blockchain? What is cryptocurrency mining? Similarities between traditional asset trading and cryptocurrency trading Main differences between traditional asset trading and cryptocurrency trading Trading with cryptocurrency exchange HFT strategies in crypto Building a high-frequency system for crypto trading How to build a trading system in the cloud Summary Index Other Books You May Enjoy