5 ms·

stupid question: how to build a trading system? anyone got a starter guide, resources?

cwalv 3y ago
Not a real system, obviously, but a high level overview of what it does: https://www.kalzumeus.com/2015/10/30/developing-in-stockfighter-with-no-trading-experience/ https://www.kalzumeus.com/2015/10/30/developing-in-stockfigh...
- vivzkestrel 3y ago
  thank you for sharing, it has a few code snippets here and there. Would you be aware of a course or something (Google didnt help) that teaches how to build one from the ground up
nimchimpsky 3y ago
[dead]
onetimeuse92304 3y ago
I built a PoC of a 5us trading system (guaranteed 5us response in every situation) for a brokerage house a long time ago, around the time of LMAX Disruptor. It was one man job and I had to start with nothing (they had no knowledge at all). Fun project and I learned a lot. * full kernel bypass (I even implemented driver for the networking hardware) * everything that could disrupt the application disabled (like SME interrupts, etc.) Memory mapped as huge buffers to prevent tlb lookup failures, etc. * application consists of threads pinned to specified cores * each thread on the path of market data to sending the order is never calling the operating system for anything. When not processing anything it is busy spinning. * all memory preallocated carefully to have it pinned to the local core * data flows from the networking hardware into one core and then passess through cores using disruptor, each core doing further processing and publishing signals to the next core * the main insight was that rather than wait for market signals to then decide what to do, you can precalculate your responses up to and including the actual message to be sent to the exchange.
- vivzkestrel 3y ago
  not gonna lie, i have to literally look up the meanings of half the words in your post lol, but you must have been in my position sometime. What did you have to learn in order to build this
- vivzkestrel 3y ago
  what language do you think would be the backbone for such a system? C/C++/Golang or something high level like node.js/Java
  - defrost 3y ago
    Each to their own but if you read and understand the comment above they're describing a dedicated OS for the task .. so think about what you'd choose to write a small task dedicated OS with. Simple C is most likely, ASM is possible, a language such as OCaml generating C to hook into the low level buffers would be intriguing ... the list is long and largely determined by the experience preference of whoever tackles it. The major features for performance are to allocate and manage all memory from the start .. determine your thresholds of performance and put everything required together on cold start so as to avoid any thrashing at runtime.
    - onetimeuse92304 3y ago
      You are surprisingly accurate. I used combination of Common Lisp (SBCL), ANSI C and assembly (not much assembly, though, only very small pieces that I had trouble emitting other ways). The main application was in Lisp, it would start up and set up the environment (using some low level code written in C/assembly). But everything on the path of the market signal to order would be highly optimised native machine code, but some of that code would be written in C and some of it would be compiled at runtime with Lisp. Parsing the incoming multicast feed from the exchange was implemented with Lisp emitting super efficient machine code (almost no function calls) based on a bunch of XML files describing the messages. I shamelessly stole the idea from the book Practical Common Lisp (really good if you want to get into Lisp). Things like business rules would be compiled into decision trees using current market situation and decision trees would be reorganised, optimised and compiled into machine code and inserted into the processing path. Most of the time a very large decision tree with hundreds of complex decisions (for example, taking into account market volatility) could be distilled to just couple branching instructions. This decision tree compilation would happen after every market signal, up to 10 thousand times a second (the exchange had a basic tick of 1/10000 of a second giving me guaranteed 100us before the next market signal). Same with actual algorithms -- I wrote a small DSL for the traders and this DSL would be compiled with Lisp to machine an inserted into the processing path. Some parts of the framework would be built with Lisp, too. It was easier for me to write a DSL and then compile it to machine than to write it in C. If you want to understand one principle from all this is to look at all instructions and especially branches that you have between receiving the signal and emitting the order and try to figure out if you can eliminate it and if you can't, try to find ways to do it ahead of time even if doing it ahead of time requires a lot more effort.

Not a real system, obviously, but a high level overview of what it does: https://www.kalzumeus.com/2015/10/30/developing-in-stockfighter-with-no-trading-experience/ https://www.kalzumeus.com/2015/10/30/developing-in-stockfigh...

vivzkestrel 3y ago
thank you for sharing, it has a few code snippets here and there. Would you be aware of a course or something (Google didnt help) that teaches how to build one from the ground up

nimchimpsky 3y ago

[dead]

onetimeuse92304 3y ago

I built a PoC of a 5us trading system (guaranteed 5us response in every situation) for a brokerage house a long time ago, around the time of LMAX Disruptor. It was one man job and I had to start with nothing (they had no knowledge at all). Fun project and I learned a lot. * full kernel bypass (I even implemented driver for the networking hardware) * everything that could disrupt the application disabled (like SME interrupts, etc.) Memory mapped as huge buffers to prevent tlb lookup failures, etc. * application consists of threads pinned to specified cores * each thread on the path of market data to sending the order is never calling the operating system for anything. When not processing anything it is busy spinning. * all memory preallocated carefully to have it pinned to the local core * data flows from the networking hardware into one core and then passess through cores using disruptor, each core doing further processing and publishing signals to the next core * the main insight was that rather than wait for market signals to then decide what to do, you can precalculate your responses up to and including the actual message to be sent to the exchange.

vivzkestrel 3y ago
not gonna lie, i have to literally look up the meanings of half the words in your post lol, but you must have been in my position sometime. What did you have to learn in order to build this
vivzkestrel 3y ago
what language do you think would be the backbone for such a system? C/C++/Golang or something high level like node.js/Java
- defrost 3y ago
  Each to their own but if you read and understand the comment above they're describing a dedicated OS for the task .. so think about what you'd choose to write a small task dedicated OS with. Simple C is most likely, ASM is possible, a language such as OCaml generating C to hook into the low level buffers would be intriguing ... the list is long and largely determined by the experience preference of whoever tackles it. The major features for performance are to allocate and manage all memory from the start .. determine your thresholds of performance and put everything required together on cold start so as to avoid any thrashing at runtime.
  - onetimeuse92304 3y ago
    You are surprisingly accurate. I used combination of Common Lisp (SBCL), ANSI C and assembly (not much assembly, though, only very small pieces that I had trouble emitting other ways). The main application was in Lisp, it would start up and set up the environment (using some low level code written in C/assembly). But everything on the path of the market signal to order would be highly optimised native machine code, but some of that code would be written in C and some of it would be compiled at runtime with Lisp. Parsing the incoming multicast feed from the exchange was implemented with Lisp emitting super efficient machine code (almost no function calls) based on a bunch of XML files describing the messages. I shamelessly stole the idea from the book Practical Common Lisp (really good if you want to get into Lisp). Things like business rules would be compiled into decision trees using current market situation and decision trees would be reorganised, optimised and compiled into machine code and inserted into the processing path. Most of the time a very large decision tree with hundreds of complex decisions (for example, taking into account market volatility) could be distilled to just couple branching instructions. This decision tree compilation would happen after every market signal, up to 10 thousand times a second (the exchange had a basic tick of 1/10000 of a second giving me guaranteed 100us before the next market signal). Same with actual algorithms -- I wrote a small DSL for the traders and this DSL would be compiled with Lisp to machine an inserted into the processing path. Some parts of the framework would be built with Lisp, too. It was easier for me to write a DSL and then compile it to machine than to write it in C. If you want to understand one principle from all this is to look at all instructions and especially branches that you have between receiving the signal and emitting the order and try to figure out if you can eliminate it and if you can't, try to find ways to do it ahead of time even if doing it ahead of time requires a lot more effort.