Tag Archives: High frequency trading

Is this proof investment banks and hedge fund use Matlab Simulink FPGA for high frequency trading HFT needs

Is this proof Goldman Sachs Citibank JP Morgan uses Matlab Simulink FPGA for high frequency trading HFT needs

Someone ask me about my view of how I use the term high-frequency trading. It seems to be a hyped up marketing term that is kind of trendy to people in to learning about one subset of algorithmic-based trading. To be honest, the only path is through the Matlab system ecosystem which includes Simulink. As we all like to see credibility of actual investment banks using it, there is a video out there of a MathWorks document to educate the power and who uses it.

Please see this video here

How I handle an HFT naysayer

As said, it seems that I have a special way of handling these kind of queries and challenges.

Please visit here to see how I handled the latest one

As you know the last week, I’ve posted many models for my Quant elite members. Here’s the latest list of what I posted:

Simulink call put parity options trading model with C or C++ code
Matlab Simulink future trading model on basis
Initial Equations for Options and Futures trading
Raw Equations for Options and Futures trading

If you want immediate access to this among dozens of other postings, go here
Click here for all the benefits that you get

Thanks for reading

Bryan

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!

Simplest answer why banks and hedge funds want to use FPGA for their high frequency trading aka HFT needs?

Simplest answer why banks and hedge funds want to use FPGA for their high frequency trading aka HFT needs?
A question came in from a newsletter subscriber on this
Any reason why they use FPGA over the other options ..
What is so special about FPGA ..
I looked forward to your response. .
I discuss this in many ways as in this search result:

https://quantlabs.net/blog/?s=fpga

In a nutshell it offers the lowest latency for any type of trading.

Join my FREE newsletter to learn about other users questions

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!

So which banks use Matlab Simulink for their high frequency trading aka HFT for FPGA deployment?

So which banks use Matlab Simulink for their high frequency trading aka HFT for FPGA deployment?

(In case you missed this) Hint, I will say Morgan Stanley, Barclays, Goldman Sachs, Citi

Don’t ask for the document as it is long gone like in poof

Join my FREE newsletter to learn more about the true way using this powerful tool

 

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!

High frequency trading aka HFT R book author dropped by to say Hi

High frequency trading aka HFT R book author dropped by to say Hi

Hello Bryan. I just discovered your blog a couple of days ago. Nice videos. I work in the hft field as well. Recently also published a book on “Quantitative Trading with R”. It’s mostly meant for beginners who want to explore R. Not really an in depth primer on execution logic or hard core quant strategies. Here’s the link in case you’re interested: http://amzn.to/1DU4uL9 Thanks again for the nice content. Harry.

 

Hey, we care about the little guy and gal doing stuff. Screw the haters and trolls though. Oh yeh and hi back

From the NYC Contact who seems to be somwhat skeptical

http://www.palgraveconnect.com/pc/doifinder/10.1057/9781137437471?webSyncID=a90d5497-6156-b960-bd84-0ee11b033dc5&sessionGUID=8c6d7a2a-5740-e9da-9d90-811c85231499

Join my FREE newsletter to learn about R in trading through my newsletter

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!

Boy, high frequency trading aka HFT cannot a break thanks to this wunder jazz band to explain it

Boy, high frequency trading aka HFT cannot a break thanks to this wunder jazz band to explain it

Huh I thought this figure was supposed to be higher

ESMA high frequency trading report – HFT responsible for 24-43% of equity trades

ESMA high frequency trading report – HFT responsible for 24-43% of equity trades

France proposes HFT rules

Ha! I hear they don’t have any extra cash so they decide to tax at only 75%. Wow they must be getting even more desparate now with this law

http://www.lexology.com/library/detail.aspx?g=d4560c1b-71be-40d4-bd09-98ab5cbdc2e7

HFT can never get a break? OH yeah, there are those cheaters and bad actors

Fidessa on ESMA HFT report – ‘Slave to a label?’

http://www.automatedtrader.net/news/at/152631/fidessa-on-esma-hft-report-_-slave-to-a-label

Even a jazz band had to get involved.

http://www.marketwatch.com/story/controversial-high-frequency-trading-study-says-practice-boosts-liquidity-2014-12-01

Join my FREE newsletter to learn more about high speed trading

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!

It looks like Canada stepped out if it’s conservative cave, now they talk about high frequency trading aka HFT

It looks like Canada stepped out if it’s conservative cave, now they talk about high frequency trading aka HFT
Congrats to my fellow crusty white old men running the show here in those ivory towers in downtown Toronto. What are the next steps my Dear Leaders?

Canadian regulatory body publishes HFT impact studies
http://www.finextra.com/news/announcement.aspx?pressreleaseid=58134

Join my FREE newsletter to see why indie trading is crucial to your long terms success

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!

Questions and AGENDA for LIVE Meetup for Which C++ would you use for your number crunching high speed HFT aka high frequency trading?

Questions and AGENDA for LIVE Meetup for Which C++ would you use for your number crunching high speed HFT aka high frequency trading?

LIVE MONDAY Dec 22 at 7PM Eastern Standard via GotoMeeting

1.  Please join my meeting, December 22, 2014 at 7:00 PM Eastern Standard Time.
https://global.gotomeeting.com/join/717088213

2.  Use your microphone and speakers (VoIP) – a headset is recommended.  Or, call in using your telephone.

Dial +1 (872) 240-3412
Access Code: 717-088-213
Audio PIN: Shown after joining the meeting

Meeting ID: 717-088-213

You could use this if there are technical difficulties: http://www.joingotomeeting.com/
GoToMeeting®
Online Meetings Made Easy®

Not at your computer? Click the link to join this meeting from your iPhone®, iPad®, Android® or Windows Phone® device via the GoToMeeting app.

Honestly, this gets confusing. Which compiler? Which library/API? Which parallel approach? Which Linux distribution? To .NET or .NOT? Hmmm….let’s talk
Here they are:

1. Who is using C++ for their high speed trading system? What functions within your system?
2. What parts of Boost library are you using and for what purpose?
3. Who still believes in STL? Anyone using C structures or even pointers? How do you handle memory management in an efficient manner?
4. What compilers do you use? Anyone using Visual Studio C++ compiler? Anyone using Intel for speed boost? How about Borland? Anyone preferring GCC/G++? Compatibility issues?
5. What sort of integrated development environment do you use for non Windows? Mac? Linux?
For advanced Higher Frequency Trading (HFT) techniques:
6. Anyone doing any heavy threading/multi concurrency? Which libraries do you use? Fastflow? TBB? OpenMP?
7. For high frequency trading uses: Anyone using any interesting low level techniques for ‘hooking’ into the operating system like the Linux kernel? Low level driver or assembly translation techniques?
8. Anyone using working with brokers within C or C++? i.e. HFT Lime Brokers? Experiences to share?
9. Is there a definitive argument or experience for those that think Java is still get faster performance vs C/C++? What techniques?
10. Anyone using C++ or C for an in memory database for rolling their own solution to handle efficiency of market data ticks? Any techniques to be shared that shows advantages of other solutions (i.e. NOSQL Redis)?
11. Anyone choosing to deploy C or C++ embedded solutions for hardware only options via FPGA or ASIC?
12. Anyone else want to share techniques for HFT purposes that might be known in the public domain?
13. Open ended discussion with full Q&A

More details at:

Which C++ would you use for your number crunching high speed app?

Monday, Dec 22, 2014, 7:00 PM

10 Members Went

Check out this Meetup →

Which C++ would you use for your number crunching high speed app?

Monday, Dec 22, 2014, 7:00 PM

GotoMeeting Webinar online
GotoMeeting Webinar online Toronto, ON

11 Researching Traders Went

Honestly, this gets confusing. Which compiler? Which library/API? Which parallel approach? Which Linux distribution? To .NET or .NOT? Hmmm….let’s talk

Check out this Meetup →

Toronto .NET Developer Meetup

Toronto, ON
638 Members

This group was created to give Toronto .NET Developers an opportunity to meet and network. It will allow developers an opportunity to meet face-to-face and share best practice…

Check out this Meetup Group →

NOTE: As these topics can be considered ‘trade secrets’, this will NOT be shared in the public domain. It will only be available to my Quant Elite members who are unable to attend this for on video playback basis.

Join my FREE newsletter to learn more about HFT potential

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!

Convert stock price chart to binary code for high frequency trading aka HFT needs?

Convert stock price chart to binary code for high frequency trading aka HFT needs?

Fascinating I never thought of so you tell me with this TED Talk video

Thanks to my ‘member’ for sending this

Join our FREE newsletter to learn more trading opportunities

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!

Smplest message queueing layer with Erlang and DOTNET CSharp or C++? High availavility for potential high frequency trading HFT system?

Smplest message queueing layer with Erlang and DOTNET CSharp or C++? High avaibility for potential high frequency trading HFT system?

This a potential architecture:

Broker data feed are fed to Erlang server from data source feed pushes down pipe to a proxy server

Client side as in trading system with charting connects to proxy server.

Maybe have a redundant failover proxy server as well?

Technically, the client could connect to Erlang via:

http://stackoverflow.com/questions/1811516/integrating-erlang-with-c\

Options:

http://erlang.org/doc/tutorial/c_portdriver.html <– maybe in using Visual Studio CL compiler for client DLL then write wrapper for .NET components (debugging driver is complicated)

http://erlang.org/doc/man/ei.html <- nightmare to debug

https://code.google.com/p/epapi/ <– looks limited and experiment

http://www.erlang.org/doc/apps/erl_interface/erl_interface.pdf <– too low level and complicated debugging

http://www.erlang.org/documentation/doc-5.1/pdf/odbc-0.9.1.pdf <– bang your head against a wall

https://github.com/saleyn/otp.net <– not mature

http://msdn.microsoft.com/en-us/library/system.net.sockets.tcpclient%28v=vs.110%29.aspx <-listener??

Recommended options from the ‘powers to be’ so thanks to them:

User Erlang on the server side:

http://erlang.org/doc/man/gen_tcp.html

You could use this on the client:

https://github.com/zeromq/netmq

This would be the most straightforward but you need to develop the failover and redundancy components for the client side.

Another option came up as using just simple TCP-IP or socket: http://stackoverflow.com/questions/807355/erlang-vs-the-real-outside-world-how-to-comunicate

16 down vote accepted

+100

The port/socket solution is a good idea and is not hard as it may seem. Google’s protocol buffers is just what you need. It is very easy to use, efficient and maintainable. It has implementations for C#, erlang, java, python and many more (See OtherLanguages and developer guide)

Join my FREE newsletter to see how I implement this

Winner?

 

 

 

 

 

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!

Sshhhh Is this proof Goldman Sachs Citibank JP Morgan uses Matlab Simulink FPGA for high frequency trading HFT needs

Is this proof Goldman Sachs Citibank JP Morgan uses Matlab Simulink FPGA for high frequency trading HFT needs

So we got this document somewhere online but is  from Mathworks. Get it while you can before we hear from the lawyers

So the question is: Why go the nasty route with all those other cruddy options?

https://quantlabs.net/blog/2014/11/is-this-proof-goldman-sachs-citibank-jp-morgan-uses-matlab-simulink-fpga-for-high-frequency-trading-hft-needs/

Oh look. Goldman Sachs caught with their hands in the cookie jar. Secret Video recording from Bloomberg

Saw this today on Bloomberg today (Strange it is not headline news)

https://quantlabs.net/blog/2014/11/oh-look-goldman-sachs-caught-with-their-handsin-the-cookie-jar-secret-video-recording-from-bloomberg/

IBM team claimes in  that CouchDB counters NOSQL MongoDB, I say….

I just got this Tweet from @cloudant over some conversation regarding these topics, this Tweet pointed to

http://www.infoworld.com/article/2848127/nosql/couchdb-20-counters-mongodb-with-improved-scaling.html

My take is this:

From an environment at IBM that allows foreign fuc*er project managers scream (in an accent in broken English) at local developers during live telecomferences in front of real clients can well, F off. They have no credibility as a standards for  a work environment so I pay no attention but thanks for chiming in here.

On the tech, these NOSQL solutions are fine but have fun maintaining tham as well other sexy tools to bang out your database.

Even my RazorSQL for my Postgres is really good, but nothing still competes between SQL Server Management Studio

Ultimately, have your internal database you own and control regarding source code. Esp if it is too be used exclusively for time series!

https://quantlabs.net/blog/2014/11/ibm-team-claimes-that-couchdb-counters-nosql-mongodb-i-say/

Don’t forget about Meetup on Open CL for Tues nite:

Meetup login details on Breaking Through the Software Performance Wall with OpenCL

https://quantlabs.net/blog/2014/11/meetup-login-details-on-breaking-through-the-software-performance-wall-with-opencl/

I just posted this for everybody to note:

After Dec 3, all our online Meetup video plackbacks will only be available to this group. As this is the lowest CURRENT price, this membership will continue you to have on demand video access to our future pow wows where the content is highly valuable from true multimillion trading operations and advanced traders. This price will double after Dec 1 so take advantage of it as I have no reason to lower this price again after Dec 1!

Better take advantage right away, You got 6 days left to get this lowest price.

http://quantlabs.net/academy/introduction-quant-elite-membership/

Thanks Bryan

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!