diy hft system

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

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: Complex Event Processing

StreamBase Platform – Components

Event Processing ServerHigh performance optimized engine can process events at market data speeds.

Developer StudioGraphical StreamSQL for developing, backtesting and deploying applications.

Input Adapter(s)Inject streaming (market data) and static (reference data) sources.

Visualization

Output Adapter(s)Send results to systems, users, user screens and databases.

Lime Brokerage

Founded in 2000 by former CSFB tradersand 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 toMarket Centers; Dark Fiber whereavailable

Lime Brokerage Market Data Offering

Real-time proprietary quote deliverysystem

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 forhigh availability

Lime Brokerage Execution Services

High throughput, low latency design forextremely efficient order managementand 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

Step One:

Connect and subscribe to low latency market data


Step Two:

Normalize the low latency market data feed


Step Three:

Rapidly build a high frequency trading application


Step Four:

Automate your execution management


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

Recap: How to Build a HFT System

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

Why StreamBase?

- Rapid application development capabilities

- Real-time market data feed processing

- High performance, scalability and availability

“The StreamBase adapter to Lime Brokerage

Citrius market data and FIX engine allows us to

seamlessly connect our proprietary trading

system to multiple markets for both data and

execution.”

Eric Pritchett, CEO, PhaseCapital

“The StreamBase adapter to Lime Brokerage

Citrius market data and FIX engine allows us to

seamlessly connect our proprietary trading

system to multiple markets for both data and

execution.”


“In our evaluation of CEP, StreamBase came out

on top.”


“In our evaluation of CEP, StreamBase came out

on top.”


Joint Customer Use Case: PhaseCapital

How easy is it to configure and implement these and other algos into

my HFT system?


What is being done to reducemessage latency?


How do StreamBase and Limeapproach co-location?


How do StreamBase and Lime handle fault tolerance and resiliency?


What asset classes are offeredby Lime?


1) MEET

• StreamBase has offices in New York, London and Boston

2) DOWNLOAD

• Download a full trial version of StreamBase:http://www.streambase.com/developers-downloads.htm

3) CONTACT

• StreamBaseCall: +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

Next Steps: Meet and Download

diy hft system

Documents