HFT & Latency

Read these first

1. 01FPGAs In Trading Systems

   An FPGA is a chip you wire into the exact circuit your strategy needs, instead of running instructions one at a time on a general-purpose CPU, trading a little flexibility for a latency advantage measured in tens of microseconds.

2. 02Latency Arbitrage

   When the same asset trades on two venues and news reaches one microseconds before the other, a faster firm can trade on the stale, not-yet-updated price before it catches up, a race that requires no forecasting skill, only speed.

3. 03Modelling Latency In Backtests

   A backtest that reacts to a price the instant it appears in the data is trading with information it wouldn't actually have had yet, realistic execution latency has to be inserted between "signal fires" and "order arrives," or the backtest is quietly cheating.

4. 04Tick-To-Trade Latency

   Tick-to-trade latency is the clock from a market data update landing on your wire to your resulting order leaving the building, every microsecond in that path is a microsecond someone faster can trade on the same information first.

Then the rest

1. 05Clock Synchronisation And PTP Timestamping
2. 06Colocation And Proximity Hosting
3. 07Determinism And Jitter Control
4. 08Direct Feeds Versus The SIP
5. 09Measuring Latency: Percentiles And Tails
6. 10Microwave And Millimetre-Wave Trading Networks
7. 11Multicast Feeds, Sequence Gaps And Recovery
8. 12Order Anticipation Strategies
9. 13Pre-Trade Risk Checks
10. 14Stale Quote Sniping
11. 15The FIX Protocol
12. 16The HFT Arms Race Argument
13. 17The Signal-To-Order Pipeline