Diy Hft System

How to Rapidly Build a High 

Frequency Trading System

Today’s Hosts

Richard Tibbetts, CTO, StreamBase Systems

Richard Tibbetts is co-founder and Chief Technology Officer at StreamBase, Richard provides technical leadership for the company and leads architecture design for StreamBase’s Event Processing Platform. Richard is also

responsible for furthering new StreamBase capabilities such as StreamBase’s ‘white box’ application frameworks, for example, the FX Aggregation

Framework.

Chad Cook, Director Technology and Information Security, Lime

Brokerage

Chad Cook leads and manages Lime Brokerage’s high-performance trading infrastructure including software development, IT and technical support. He is one of the architects of Lime Brokerage’s technology and oversees information security for the company.

Agenda

ƒ Company Overviews

ƒ How to Build a High Frequency Trading System

− Step 1:Connect and subscribe to low latency market data

DEMO: Connecting and subscribing to the Lime Citrius™ Quote Delivery System − Step 2:Normalize the low latency market data feed

DEMO: Creating a normalization application

− Step 3:Rapidly build a high frequency trading application

DEMO: Building a high frequency trading application within StreamBase Studio − Step 4:Automate your execution management

DEMO: Connecting the trading application to Lime’s Execution Services

ƒ Joint Customer Use Case

Static Data Processing: “When was the price of BAC below its trailing 5 minute VWAP yesterday?

TIME

Complex Event Processing: “What equities are below their trailing 5 minute VWAP right now and where can I find liquidity?”

StreamBase Platform – Components

Event Processing Server High performance optimized engine can process events at market data speeds.

Developer Studio

Graphical StreamSQL for developing, backtesting and deploying applications.

Input Adapter(s) Inject streaming (market data) and static (reference data) sources.

Visualization

Output Adapter(s) Send results to systems, users, user screens and databases.

Lime Brokerage

ƒ Founded in 2000 by former CSFB traders

and technologists

ƒ Leader in the high-frequency trading arena

ƒ Developed proprietary market data, execution and risk

management technology

ƒ Expertise in building high-performance software,

systems and networks

ƒ Point-to-point connectivity to

Market Centers; Dark Fiber where

available

Lime Brokerage Market Data Offering

ƒ Real-time proprietary quote delivery

system

ƒ Flexible, streamlined toolkit simplifies receipt of market

data

ƒ Data normalization across venues and protocols

ƒ Best performance obtained with co-located servers in

Lime Data Centers on Lime Network

ƒ Data and server redundancy for

Lime Brokerage Execution Services

ƒ High throughput, low latency design for

extremely efficient order management

and scalability

ƒ FIX interface – normalized access to wide variety of

order types

ƒ C/C++ and Java trading APIs for simplified trading

ƒ Inline solution, microseconds for through-box

operations

Step One:

Connect and subscribe to low latency

market data

Step Two:

Normalize the low latency market data feed

Step Three:

Rapidly build a high frequency trading

application

Step Four:

Automate your execution management

Step 1:

Connect and subscribe to low latency market data

Step 2:

Normalize the low latency market data feed

Step 3:

Rapidly build a high frequency trading application

Step 4:

Automate your execution management

ƒ Situation

− High frequency firm seeks to enhance and improve the development of high frequency trading applications and connect those applications to multiple markets for both data and execution

ƒ Solution

− StreamBase CEP + Lime Brokerage

ƒ Why Lime?

- High speed low latency data feeds

- Access to multiple markets for data and order execution

ƒ Why StreamBase?

- Rapid application development capabilities - Real-time market data feed processing

- High performance, scalability and availability

“The StreamBase adapte

r to Lime Brokerage Citrius market data and FIX engine a

llows us to seamlessly connect our proprietary

trading system to multiple markets for both

data and execution.”

Eric Pritchett, CEO, PhaseCapital

“The StreamBase adapter to Lime Br

okerage Citrius market data and

FIX engine allows us to seamlessly connect our proprietary

trading system to multiple markets for both

data and execution.”

Eric Pritchett, CEO, PhaseCapital

“In our evaluation of CEP, StreamBase ca

me out on top.”

Eric Pritchett, CEO, PhaseCap ital

“In our evaluation of CEP, StreamBase ca

me out on top.”

Eric Pritchett, CEO, PhaseCap ital

How easy is it to configure and

implement these and other algos into

my HFT system?

What is being done to reduce

message latency?

How do StreamBase and Lime

approach co-location?

How do StreamBase and Lime handle

fault tolerance and resiliency?

What asset classes are offered

by Lime?

1) MEET

• StreamBase has offices in New York, London and Boston

2) DOWNLOAD

• Download a full trial version of StreamBase:

http://www.streambase.com/developers-downloads.htm 3) CONTACT

• StreamBase

Call: +1 866 787 6227 (North America) -or- +44 (0) 20 7002 1095 (Europe)

Email: [email protected] Web: www.streambase.com

• Lime Brokerage

Call: +1 212 824 5000 (Main Office)

Email: [email protected] Web: www.limebrokerage.com