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ććć«ććć°å¶éęé5ē§ćę¤åŗććććć«ćÆę å ±åå¾ć®é«éå(websocket)ć®ę“»ēØćęå¹.
ref. https://onlinelibrary.wiley.com/doi/full/10.1111/j.1540-6261.2010.01624.x
UKIććć®ććć°ć«ć5ē§ćē»å “ććć®ćÆå¶ē¶ć®äøč“ćŖć®ć?
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- Wait for the othe side
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order level
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How many orders do you want to place on both sides?
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HFT Topics
š”HFTé«éåć®åÆ¾č±”
å Øä½ć®ć¹ćć¼ććÆ仄äøć®3ć¤ć®ć¤ć·ć„ć¼ć«åč§£ć§ćć. 1ć¤ćććć«ćććÆć«ćŖććØå Øä½ć®ć¹ćć¼ććč½ć”ććØććé¢äæ.
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å ±åå¾ć®é«éå
- websocket
- ććććÆć¼ćÆé 延åƾē
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ćŖć«ććć£ć¦é«é »åŗ¦åå¼ćŖć®ć?
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- ć¬ć¤ćć³ć·ć¼ćęå°åććä»ēµćæćēØćć¦ćć(DMA, ć³ćć±ć¼ć·ć§ć³, ćććć·).
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ę±čؼć·ć¹ćć ć§åå¼ćććHFTćÆ大ććļ¼ććæć¼ć³ć«åé”ć§ćć.
- ć”ć¤ćÆå: šćć¼ć±ććć”ć¤ćÆ
- ćć©ć³ć¹å: 1ćØ3ć®äø”ę¹.
- ēęå: šć¢ć¼ććć©ć¼ćø, šćć£ć¬ćÆć·ć§ćć«ę¦ē„
ććć¦čæ幓ć®å¾åć§ćÆ, å¾ę„ć®ćć¼ć±ććć”ć¤ćÆę¦ē„ć§ćÆćŖć, ä¾”ę ¼äŗęø¬ććććŖććććŖćć£ć¬ćÆć·ć§ćć«ę¦ē„ćēØććHFTćę„å¢ćć¦ćććØć®ććØ. ćć”ććå¾ę„åć®ćć¼ć±ććć”ć¤ćÆćč”ćHFTę„č ćććć, ćć¼ć±ććć”ć¤ćÆćÆćć¬ć³ćć«å¼±ććć(šćć¼ć±ććć”ć¤ćÆćØééøęćŖć¹ćÆ), ä¾”ę ¼äŗęø¬ć«ćććć£ć¬ćÆć·ć§ćć«ę¦ē„ć«ęµćć¦ćććć.
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ććć«, š”SBI SORć®čå¼±ę§ćHFTć«ēćććåé”ććć, ä»å¾ć®HFTć®č¦å¶ćÆå¼·åćććäŗęććć. ćć¼ć±ććć”ć¤ćÆć«ćć£ć¦ęµåę§ćäøććŖććŖćć°, ćććććŖćHFTćčرåÆćć¦ććć®ććØććććØć«ćŖć. ććć, ę„ę¬ć§ćÆćŖćęµ·å¤ć®ę„č ćć»ćØćć©ćØććē¾ē¶.
šēęåHFTć£ć¦Sniper Botć®ę„ę¬čŖčسć ć£ćć®ć(24/01/13)
š”SBI SORć®čå¼±ę§ćHFTć«ēćććåé”
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- SORćä½æć£ćę Ŗåå¼ćåäŗŗęč³å®¶ć«ćØć£ć¦ę大ć®ćć”ćŖćććØćÆ - ęč³ćććÆ
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- å ēµęøć¤ćÆć¶ćč§£čŖ¬ćę Ŗå¼ęč³ē”ę³å°åøÆćļ¼ē«ēµé·ļ¼č åę½®ļ¼ļ¼ | ē¾ä»£ę°ęø | č¬č«ē¤¾ļ¼2/5ļ¼
- šSORę³Øę
HFT Insights
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- š”Hummingbotć®ćć¼ć±ććć”ć¤ćÆćę°äø»åćØććēåæµćÆćć£ććć
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ćććÆć¾ćć§, bid/askćå°ę£ć®ęæć®ććć«ćć¦, maker/takerćå¦ä½ć«ćć¦ēøęć®åććčŖćæćŖććåŗćć¦ććććØććę¦ē„ć . ę°ęå ćčŖćæ, ććć«ćÆHFTć®å “åćÆćć¼ć±ćććć¼ćæćå ć«č¶ é«ééćć¤ē¢ŗēēć«maker/takerćåŗć.
č¶ é«éć§ę¦ē„ćå®č”ćć¦å©ēććØćHFTćÆ, å°ę£ććć§ć¹ć«ä¼¼ć¦ćććććććŖć. ćć®äøēč¦³ćÆé¢ē½ć.
šReferences
å½å ćććÆćć¼ćÆ
- https://mizutatakanobu.com/jindex.htm
- āć¢ć«ć“ćŖćŗć åå¼~é«é »åŗ¦åå¼ē·Ø|ļ½åå¼å¾ć®ć³ć¹ćåęćććććęµćē„ćå·±ćē„ćć°ē¾ę¦å±ććććļ½ā - Qiita
- ļ¼Øļ¼¦ļ¼“ć»ć¢ć«ć“ćŖćŗć ļ¼ļ¼ļ¼ - ććććć®ććéćć®č©±ćććć
- ļ¼Øļ¼¦ļ¼“ć»ć¢ć«ć“ćŖćŗć ļ¼ļ¼ļ¼ - ććććć®ććéćć®č©±ćććć
- é«é »åŗ¦åå¼ć®äøčåÆ - ę¹Æå·åæäø(PDF)
- https://twitter.com/stock_love8603
- åŗę¬ē„čć·ćŖć¼ćŗē¬¬1å¼¾ HFTļ½ćććććļ½note
- ćć®äŗŗ, notećTwitterć®å 容ććæćć«, ęµ·å¤ć§ćć¼ć±ććć”ć¤ćÆHFTć§ę¦ć£ć¦ćäŗŗ.
ęµ·å¤ćććÆćć¼ćÆ
- https://www.sissoftwarefactory.com/blog/
- https://twitter.com/sisSoftware
- ForexććŖ? AwesomećØē“¹ä»ććć¦ćć.
š„ććć³ć°ćć¼ćć»ćććøć§ćÆć 0.001ē§ć®ē·ćć”(2019)
é«é »åŗ¦åå¼ććć¼ćć«ććę ē».
ććć³ć°ćć¼ćć»ćććøć§ćÆć 0.001ē§ć®ē·ćć” - Wikipedia
ć½ć¼ć·ć£ć«ććććÆć¼ćÆć®ę ē»ć§ć¶ćć«ć¼ćć¼ć°ćę¼ćć¦ćććøć§ć·ć¼ć»ć¢ć¤ć¼ć³ćć¼ć°äø»ę¼.
TED Talks
TEDć§ē“¹ä»ćććHFTć®ę¦č¦.
JPX WORKING PAPER: ę±äŗ¬čؼåøåå¼ęć«ćććHigh-Frequency Tradingć®åę[2014]
HFTćē„ććććØćć«ććå¼ēØćććććÆć¤ććć¼ćć¼. 2014ęē¹ć§ć®ę å ±ćć¾ćØć¾ć£ć¦ćć.
ęåč«ę
ē¬¬4ē« .
ref. šå·č”ę¦ē„ćØåå¼ć³ć¹ćć«é¢ććē ē©¶ć®é²å± - ęåę ¶å½¦
ććć«ćć®č«ęć仄äøć®åčęē®ćåē §ćć¦ćć.
Amazon.co.jp: All About High-Frequency Trading : Durbin, Michael: Foreign Language Books
HFT(é«é »åŗ¦åå¼)ćÆē¾¤éåæēēćŖč”åćę”ćć[2016]
https://www.jsri.or.jp/publish/research/pdf/94/94_03.pdf
š”å øåēćŖHFTę„č ćÆč¦ććć«ćć¼ć±ććć”ć¤ćÆććć¦ćć
ćć¼ć±ććć”ć¤ćć³ć°ćå¼·ćēē±.
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å øåēćŖHFTę„č ćÆč¦ććć«ćć¼ć±ććć”ć¤ćÆććć¦ćć.
ćŖć¹ćÆåéæćććć«ę£ē¢ŗćć¤čæ éć«ć§ćććć©ćććććć¼ć±ććć”ć¤ćÆåHFTć®ęå¦ćę±ŗććč¦å ćØćŖćć¾ć.
ćććÆēøå “ć®čŖćæćå½ć¦ē¶ćććØććć®ćØćÆå Øćę§ę ¼ćē°ćŖć.
update: š”2022: HFTć®å®ä½ćIOCęå¤ćć¤ćÆć§ćć¼ć±ććć”ć¤ćÆć§ćŖćć£ć件
š”HFTćØćć¼ćæććć¼ććć°ć©ćć³ć°
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äøę¹ć§ćCć®ćććŖęē¶ćåčØčŖć§ćÆćŖćććć¼ćæććć¼čØčŖćé¢ę°åčØčŖćä½æć£ć¦é«ä½åęććććØććć¢ććć¼ććććć
āAt Maxeler we take a very different approach. You shouldnāt be thinking in terms of sequential C++ code, but instead think about the flow of data through your algorithm, which at the end of the day is all that matters. MaxCompiler does all the heavy lifting for you, like making sure the data is in the right place at the right time, and presents the programmer with a high level abstraction of the dataflow that is easy to conceptualise. Because of this you spend your time designing great algorithms rather than getting your hands dirty with all the messy details.ā claims Spooner. Maxelerć§ćÆććććććććØćéćć¢ććć¼ćććØć£ć¦ćććēµå±ć®ćØćććéč¦ćŖć®ćÆę¬²ććć¢ć«ć“ćŖćŗć ć«åŗć„ćć¦ćć¼ćæć®ęµććå®ē¾©ććććØć§ćć£ć¦ćåæ ććććććC++ć®ćććŖęē¶ćåčØčŖćä½æć£ć¦å®č£ ććåæ č¦ćÆćŖććMaxCompilerć§ćÆćēč§£ććććę½č±”åŗ¦ć®é«ććć¼ćæććć¼ćććć°ć©ćć¼ćč”Øē¾ć§ććē°å¢ćęä¾ćććć¤ćć¼ćæćę£ćććæć¤ćć³ć°ć§ę£ććå “ęć«ęµććććØćććć°ć©ćć¼ć«ä»£ćć£ć¦ē®”ēćććļ¼HDLć®ććć«ļ¼ē“°ććé¢åćŖč©³ē“°ćčØčæ°ććåæ č¦ćÆćŖććććå¤ćć®ęéćć¢ć«ć“ćŖćŗć ć®čØčØć«ä½æććć
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