[15]essential GTD/zbs to build algo trading system

Hi

(See also http://bigblog.tanbin.com/ post on HFT)

Just to share some observations and reflections. More than one Asia (and to a lesser extent US) recruiters have reached out to me as a potential lead-developer for a HFT engine, to be created from scratch. I believe there are not many old hands in Singapore. Even in the US, this is a relatively small circle. Not a commodity skill.

A small trading shop would have very different needs than a big bank, so their HFT engine will use off-the-shelf tools for all but the most critical, customized modules. (I had a brief blog post on it.) What are the 10 essential know-how i.e. Essential functionalities you must know how to create (prove)?

  • see also my 2018 post on execution system^OMS^FIX…
  • executing strategy for order origination, i.e. machine trading
    • market data processor, sockets
    • order book replicated from market data? perhaps at the center of the engine
    • OMS (Kenny) ? in some cases we leverage the exchange query API or 3rd-party solutions
  • [W] FIX or other order submission protocol
  • in-sample testing. I used Matlab for this. Can be much simpler than the production system.
  • [3] real time pnl, updated by market data
  • [3] barebones blotter, or perhaps command line interface?
  • [3] store historical data for analysis. Perhaps SQL or KDB.
  • [3N] reference data
  • [3] post-trade STP

Low-level tech knowledge
• [N] threading
• [NW] Boost
• debugger
• [N] memory leak detection
• [W] socket programming

[3 = 3rd party products could be good enough in Every component, but this one is more likely]
[N = Not needed in every shop, but often required by interviewer]
[W = my weakness, relatively speaking]

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