Applications of High-Frequency Data Modeling In Trading Systems Jim Wang, CFA Program in Financial Engineering Stevens Institute of Technology Hoboken, NJ, 07030, USA
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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
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