Diy Hft System

How to Rapidly Build a High  Frequency Trading System Presented By:

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

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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

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Joint Customer Use Case

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Next Steps

StreamBase: Complex Event Processing

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 Visualization

Developer Studio Graphical StreamSQL for developing, backtesting and deploying applications.

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

Event Processing Server

Output Adapter(s)

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

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 high availability

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 ƒ Fault-tolerant trading systems

How to Build a High Frequency Trading System

Step One: Connect and subscribe to low latency market data

How to Build a High Frequency Trading System

Step Two: Normalize the low latency market data feed

How to Build a High Frequency Trading System

Step Three: Rapidly build a high frequency trading application

How to Build a High Frequency Trading System

Step Four: Automate your execution management

Recap: How to Build a HFT System 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

Joint Customer Use Case: PhaseCapital erage to Lime Brok r te p a d a e s s to a gine allows u “The StreamB n e IX F d n a t data g Citrius marke prietary tradin p r ro u o t c e n n o th data and seamlessly c arkets for bo m le ip lt u m system to execution.” ital O, PhaseCap , E tt C e h tc ri P c ri E

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Situation −

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Solution −

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me out , StreamBase ca P E C of n o ti ua “In our eval on top.” l O, PhaseCapita Eric Pritchett, CE

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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

StreamBase CEP + Lime Brokerage

Why Lime? -

High speed low latency data feeds

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Access to multiple markets for data and order execution

Why StreamBase? -

Rapid application development capabilities

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Real-time market data feed processing

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High performance, scalability and availability

How to Build a High Frequency Trading System

How easy is it to configure and implement these and other algos into my HFT system?

How to Build a High Frequency Trading System

What is being done to reduce message latency?

How to Build a High Frequency Trading System

How do StreamBase and Lime approach co-location?

How to Build a High Frequency Trading System

How do StreamBase and Lime handle fault tolerance and resiliency?

How to Build a High Frequency Trading System

What asset classes are offered by Lime?

Next Steps: Meet and Download 1)

MEET •

2)

DOWNLOAD •

3)

StreamBase has offices in New York, London and Boston

Download a full trial version of StreamBase: http://www.streambase.com/developers-downloads.htm

CONTACT •

StreamBase Call: +1 866 787 6227 (North America) -or- +44 (0) 20 7002 1095 (Europe) Email: [email protected] Web: www.streambase.com

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Lime Brokerage Call: +1 212 824 5000 (Main Office) Email: [email protected]

Web: www.limebrokerage.com