Tag Archives: Direct Market Access

Complete advanced trading system with FPGA vs GPU addressed with HFT and direct market access in mind using Matlab Simlunk

Complete advanced trading system with FPGA vs GPU address with HFT and direct market access in mind using Matlab Simlunk

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Hi Bryan,

I do not pretend that I understand everything you present. It is impressive.
And the speed in which you work is fenomenal. My compliments.

 

–> Thanks for the comments.

I hope I can attend the webinar later today or as I should say tomorrow (it is at 01.00 hour at night for me in the Netherlands).

 

–> More live webinars will be coming

I have a question:

Your emphasis is on the software , matlab etc.
I would like you to elaborate on the overall trading system.
– Can you do this ?

 

–> Mathworks addressed this through the latest 2 Matlab updates with the ability of Matlab allowing trades to be executed.  This could impact a lot of future trading systems and now you could potentially trade within Matlab but I am unsure of performance. I need to test once I can upgrade to the current version.

As I see it:

I need a server in a datacenter as close to the market makers as possible.
On this server the dedicated software will be running with the direct data feed input and order output.
From my place I have a fast internet link to access this server for monitoring, etc.
Now I have Mirus Futures as broker for futures trading on NinjaTrader platform and a local VPS.

 

–> You are looking at true Direct Market Access for this so you could go on to the exchanges. One such service for what you  are probably looking for is Lime Brokers but they are very pricey

But you go steps further.
This is for fast trading, perhaps high frequency trading.

– What kind of server do we need for this ?
I see 4 types with different possibilities:
1.  virtual private server (VPS)
2.  dedicated server
3.  dedicated server with a GPU (Tesla or Kepler type)
4.  dedicated server with FPGA and direct handling of I/O data feeds at 10 Gbit/s (optical interfaces)
–> dedicated server for sure with FPGA as you explain in #4
The first and second types I can use today for stocks, forex and futures trading
For example with a local server or one in the Aurora CME datacenter in Chicago when trading futures.

The 3 and 4 types are needed for fast trading with low latence etc.
HFT is done on FPGA.

 

–> I would agree with what you state above

My expertise is in optical fiber networks. I understand low latency. I am familiar with FPGA,
I have applied one FPGA in electronics, although it was not a Virtex but a Spartan from Xilinx.
(I can load the program into the Spartan 3.)

–> Xilinx is standard hardware manufacturer but too be honest you are way ahead on this

I have seen some cards with FPGA to integrate into a server.
– Where can I get or place such a server ?
– Which intermediate (broker or … ?) can I use ?

 

–> Lime Brokers may allow this above as they are geared towards HFT . For places to get FPGA, DINI Group comes up a lot http://www.dinigroup.com/new/index.php
Then there is the question GPU or FPGA.
– Which one is to be prefered ?

–> FPGA as it is direct as opposed to GPU needs time to transfer the data to the GPU. FPGA does not have this limitation

The FPGA is the fastest and has direct I/O high speed interfacing. I understand these solutions are run with relatively simple algoritmes.
You get the advantage from the low latency. Disadvantage is that the FPGA needs to be programmed with fixed program. It is reprogrammable hardware.
I have to look into it to see if the reprogramming can be done via the server interface from remote computer.

 

–> This is where Matlab’s Simulink come into play. Check out their webinar http://www.mathworks.com/company/events/webinars/series/fpga-design/

The server with a GPU card with GPUdirect can do high performance computing. This can run complex algoritmes which can be changed from a remote location.
If you make complex models with Matlab and Simulink then this might be the way to go.

 

–> I am unsure of this new capability with GPUdirect but I do think FPGA is the same cost. I guess you could say I would still stick with FPGA as there are more faster advancements in it i.e. wireless networks which is next generation

Please address these questions either tonight in the webinar or in an email.

I might be of assistance to use my expertise to get the hardware and the (fiber) network connections organized and running.

I am not a C# or C++ programmer. I support you because I think your ideas are very good. If possible I want to apply these for trading.

 

–> Give me some time to cover the basic analytics which I am currently doing. My next big venture will be Simulink but they it is a HUGE endeavor.

Greetings,

HOW DO YOU START A PROFITABLE TRADING BUSINESS? Read more NOW >>>

NOTE I now post my TRADING ALERTS into my personal FACEBOOK ACCOUNT and TWITTER. Don't worry as I don't post stupid cat videos or what I eat!

Best quant book for direct market access and stock market exchange order book understanding?

Best quant book for direct market access and stock market exchange order book understanding?
This was from a visitor on my Youtube channel at youtube.com/quantlabs
hi quantlabs, can you recommend any good literature or tutorials or anything that explains in detail how the order book works? So things like how trading the order book in an aggressive or passive manner works? How your order is placed in the order book depending on what you do? I basically am really interested in learning how the order book works when you interact with it as a trader of any sort.

 

Answer

Algorithmic Trading and DMA: An introduction to direct access trading strategies

HOW DO YOU START A PROFITABLE TRADING BUSINESS? Read more NOW >>>

NOTE I now post my TRADING ALERTS into my personal FACEBOOK ACCOUNT and TWITTER. Don't worry as I don't post stupid cat videos or what I eat!

New quant book ‘Algorithmic Trading and DMA (Direct Market Access)’

New quant book ‘Algorithmic Trading and DMA (Direct Market Access)’

Just a quick update to say that ‘Algorithmic Trading & DMA’ is now available from Amazon in Europe. Some links are on my website:
http://www.algo-dma.com/2007/12/buy.html

Plus a big thanks again to everyone who has bought a copy
cheers

I can personally vouch for this book as I have read it. It is one of the best out there!

HOW DO YOU START A PROFITABLE TRADING BUSINESS? Read more NOW >>>

NOTE I now post my TRADING ALERTS into my personal FACEBOOK ACCOUNT and TWITTER. Don't worry as I don't post stupid cat videos or what I eat!

Lokesh Madan explains what Direct Market Access DMA to quant wannabees

Lokesh Madan explains what Direct Market Access DMA to quant wannabees.

What is Direct Market Access (DMA)?
The Securities Exchange Board of India, SEBI, has allowed Direct Market Access (DMA) for Institutional Investors. This article explains what Direct Market Access (DMA) is, and discusses its advantages.
The Securities Exchange Board of India, SEBI, has announced that it would allow Direct Market Access (DMA) for Institutional Investors. This means that FIs and FIIs would be able to place orders directly in the stock markets, without there being an intermediate broker. Although the orders would still be routed through a broker’s server, the institutions would no more be needed place the orders through a broker.
Direct Market Access is very popular internationally, and its introduction in India is one more step towards modernization of our financial system.

What is Direct Market Access (DMA)

As the name suggests, using DMA, and entity can trade directly in an exchange – just likes brokers do. There is no need to place an order through a broker.

Advantages of Direct Market Access (DMA)

Speed

The main advantage of DMA in that it results in faster order placement and execution.

Till now, the institutions had to convey their orders to a broker, and the broker would place the orders. This means that the same information had to be conveyed twice, which resulted in delays, and, at times, errors.

Now, with Direct Market Access, the institutions would be able to place the orders directly in the market.

Cost Saving

Cutting down an intermediary would result in significant cost savings for the institutions.

Enable Algorithmic Trading

Since the institutions would be allowed to access the market directly, they can now develop and deploy computers running complex mathematical algorithms, which would place buy and sell orders automatically.

This would be a totally new avenue, and in the future, even mutual funds specializing in algorithmic trading can be introduced.

What does Direct Market Access (DMA) mean for small investors?

Allowing DMA for institutional investors is a precursor to allowing it for small investors.

The primary advantages for small investors are the same as that for institutional investors – speed and cost saving. But it is unclear how many small investors would actually end up using the facility of DMA.

The main benefit for small investors might be due to the introduction of algorithmic trading based mutual funds. This would provide a good avenue of investment for some of the more adventurous (and risk seeking!) investors among us!

NSE & BSE Provides DMA Access for Institutional Clients

He is on Linked In

HOW DO YOU START A PROFITABLE TRADING BUSINESS? Read more NOW >>>

NOTE I now post my TRADING ALERTS into my personal FACEBOOK ACCOUNT and TWITTER. Don't worry as I don't post stupid cat videos or what I eat!