stevens hfc2009

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  1. 1. Applications of High-Frequency Data Mode l ingIn Trading Systems Jim Wang, CFA Program in Financial Engineering Stevens Institute of TechnologyHoboken, NJ, 07030, USA
  2. 2. Base Architecture Stock Exchange Trading Engine UDPx5 TCP GUI TCP
  3. 3. UDP Capacity
    • US Equity trades10 billion shares per day
    • Average Trade < 200 shares per trade
    • Approximately 50 million trades per day
    • Bid/Offer/Trade 100 messages per trade
    • Average 5 billion messages per day
    • Average 200,000 messages per second
    • Messages from multiple exchanges distributed over multiple UDP lines.
  4. 5. Book Look on Server
  5. 6. TCP connection to ExchangesIOC order traverse multiple markets
    • Z10623988,OCCRF.PRZB001000221.27000YARCA