The Gateway to Algorithmic and Automated Trading

What I've learned building low latency systems

Published in Automated Trader Magazine Issue 41 Q4 2016

Software development for low latency trading tends to be shrouded in mystery. Development practices are often wrapped in layers of computational alchemy that tend to be impenetrable to outsiders. The industry rarely gives insights, even though it borrows heavily from other sectors to drive its own progress.

Ariel Silahian

AUTHOR'S BIO

Ariel Silahian is an experienced technologist developing low latency trading platforms for hedge funds and proprietary trading firms. He is particularly interested in finding new ways of leveraging technology to exploit opportunities in the capital markets.

The high frequency trading world is secretive and it's not really a surprise that nobody wants to give anything away. Apart from the obvious commercial implications, there are also legal constraints: Everywhere you work makes you sign non-disclosure agreements, which scares people from talking about even the most rudimentary aspects of technology.

And once you have worked on a few different projects or in a few different companies, then you start building up a veritable collection of NDAs. That is my case anyway. But talking about many of the technical aspects of high frequency trading is not giving away any secrets. Sure, there may not be many people talking about it, but it's not a secret. It's simply best practice as it would be known in any other industry. After spending many years with this problem domain, I have compiled a few points that I wanted to share.

Many of the software developers that work in hedge funds and HFT firms have a gaming or communications background. This allows financial firms to utilize their up-to-date knowledge that actually originates from other industries.

High frequency trading is about low latency processing and ultra-fast communication: everything is geared towards speed. From the design and prototyping stage all the way to the final implementation speed is always the primary concern. If you can manage to gain just a couple of microseconds somewhere along the way then it is considered a big deal.

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