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Stevens HFC2009

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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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Page 1: Stevens HFC2009

Applications of High-Frequency Data Modeling In Trading Systems

Jim Wang, CFAProgram in Financial EngineeringStevens Institute of Technology

Hoboken, NJ, 07030, USA

Page 2: Stevens HFC2009

Base Architecture

Stock Exchange

Trading Engine

UDPx5 TCP

GUITCP

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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.

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Book Look on Server

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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

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Hardware Architecture

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Right Click Popup Order Entry

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Customize Strategy Per Trader

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Customize Strategy Per Trader

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Scan Market For Set Up

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Looking For Hidden Orders


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