Trading at market speed with the latest Kafka features by Iñigo González at Big Data Spain

Not long ago only banks and hedge funds could afford doing automated and High Frequency Trading, that is, the ability to send buy commodities in microseconds intervals.

https://www.bigdataspain.org/2017/talk/trading-at-market-speed-with-the-latest-kafka-features

Big Data Spain 2017
November 16th - 17th Kinépolis Madrid

Transcript

2. Trading at market speed… …with the latest KAFKA features Íñigo González Ponce @exocert
3. Disclaimer • Very High risk • Don’t risk money you cannot afford to loose. • You’ll be exposed to markets with high volatility. • Software bugs might make you loose money 6/6 Inversión de muy alto riesgo. Ud. Puede perder hasta la camisa por un error en su código.
4. Automated trading (late 80’s) The ability of trading in a market without continuous human intervention. You need: Something that watches the market Something able to execute orders based on your instructions.
5. High Frecuency trading Automated trading At milisecond speed Able to trade multiple exchanges at once *VERY* expensive to do: Software licenses for CEPs started at $10,000 for cpu core. - Now it’s different
11. HOW?
14. HOW to make money?
16. Meet the orderbook
17. The orderbook
18. The orderbook is a queue Think about a queue in a staircase. Every step is a bid/ask Price On every step you can have one or more orders in a queue. ORDERS are executed on a FIRST-COME- FIRST-SERVE basis.
19. Orderbook and Liquidity There is a STRONG incentive to be early in the orderbook… … because you’re the first in the line to execute your orders. BTW: Some markets have 0% comission for market MAKERS.
20. Strategy recap •Be early in the orderbook: send orders ASAP.
21. Example #1: Moving average
22. Example #2: Shotgun order
23. The big picture: What we need in the real world™ Get market data Store market data Replay market data Test strateg y Watch fror entry signals Watch for exit signals Execute trades Manage Risk Predict orderbo k change s
24. Thanks! Iñigo Gonzalez @exocert