Stevens HFC2009

Applications of High-Frequency Data Modeling In Trading Systems

Jim Wang, CFAProgram in Financial EngineeringStevens Institute of Technology

Hoboken, NJ, 07030, USA

Base Architecture

Stock Exchange

Trading Engine

UDPx5 TCP

GUITCP

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.

Book Look on Server

TCP connection to Exchanges IOC order traverse multiple markets

• Z10623988,OCC RF.PRZ B0010002 21.2700 0YARCA

• <10623994,PCC RF.PRZ B00000100 21.2700121728ARCA

• <10623994,XCC RF.PRZ 00000100121728Expi

• Z10623994,OCC RF.PRZ B000001000002 21.2700 YISLD

• <10623998,PCC RF.PRZ B00000100 21.2700121728ISLDINET

• <10623998,XCC RF.PRZ 00000100121728

• Z10623998,OCC RF.PRZ B000001000002 21.2700 YBATS

• <10624002,PCC RF.PRZ B00000100 21.2700121728BATS

• <10624002,XCC RF.PRZ 00000100121728N: N

• Z10624002,OCC RF.PRZ B00000100002 21.2700 YEDGX

• <10624008,PCC RF.PRZ B000001021.2700121728EDGXRDOT

• <10624010,TCC RF.PRZ B00000100 21.2700EDGX121728W0

Hardware Architecture

Right Click Popup Order Entry

Customize Strategy Per Trader

Customize Strategy Per Trader

Scan Market For Set Up

Looking For Hidden Orders