Developing High-Frequency Trading Systems
Learn how to implement high-frequency trading from scratch with C++ or Java basics
Sebastien Donadio
Sourav Ghosh
Romain Rossier
BIRMINGHAM—MUMBAI
Developing High-Frequency Trading Systems
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ISBN 978-1-80324-281-1
Contributors
About the authors
Sebastien Donadio has two decades of experience in high-performance computing, software design, and financial computing. Currently an architect in the Bloomberg office of the CTO, he has a wide variety of professional experience, including serving as CTO of an FX/Crypto trading shop, head of engineering, quantitative analyst, and partner at a high-frequency trading hedge. Sebastien has taught various computer science and financial engineering courses over the past fifteen years at various academic institutions, including Columbia University, the University of Chicago, and NYU. Sebastien holds a PhD in high-performance, an MBA in finance, and an MSc in analytics from the University of Chicago. His main passion is technology, but he is also a scuba diving instructor and an experienced rock-climber.
Sourav Ghosh has worked in several proprietary high-frequency algorithmic trading firms over the last decade. He has built and deployed extremely low-latency, high-throughput automated trading systems for trading exchanges around the world, across multiple asset classes. He specializes in statistical arbitrage market-making and pairs trading strategies for the most liquid global futures contracts. He works as a vice president at a trading firm based in Sao Paulo, Brazil. He holds a master's in computer science from the University of Southern California. His areas of interest include computer architecture, FinTech, probability theory and stochastic processes, statistical learning and inference methods, and natural language processing.
Romain Rossier brings 19+ years of experience, mostly as a software architect in the financial industry, specializing in low latency, high-performance Java software design and development. He is currently the chief architect for the HCTech FX Proprietary Trading engine. He also built and led the software development team at HCTech, where he oversaw and developed the HFT platform architecture for FX, Futures, and Fixed Income. Prior to HCTech, Romain was director of the Currenex lab, where he led the team responsible for the development of the Currenex Intelligent Pricing System. Romain holds a Master of Science in Communication Systems from the Swiss Federal Institute of Technology in Lausanne.
About the reviewers
John Rizzo has applied his passion for technology and building complex computing systems in support of the financial markets throughout his career. Over the past 17 years, he has held a number of technology leadership roles, including CTO, director, and infrastructure architect at various hedge funds and other firms in the financial services industry. He started and sold a company that developed systems to help manage various aspects of the loan life cycle and the syndicated loan market. Today, he is focused on infrastructure security in Bloomberg's Office of the CTO.
Phil Vachon works on projects related to identity, authentication, and the application of data science to operational security challenges at Bloomberg. Prior to that, Phil co-founded a start-up focused on high-speed packet capture and analysis. He's also developed high-frequency trading systems, designed and implemented firmware for identity and security infrastructure devices, built synthetic aperture radar data processing tools, and worked on data plane traffic engineering for carrier routers. His main interests are developing threat models that are relevant to business problems, designing secure embedded systems, and working to improve individual privacy protections in our increasingly connected world.