high-frequency-trading

Building a High-Performance C++ Backtesting Framework with an Order Matching Simulator Plugin For institutions that have already built a C++ backtesting framework, rebuilding the entire system to support more realistic order matching and high-performance market replay is often impractical. DolphinDB’s high-performance market data replay and Order Matching Simulator Plugin provides a low-latency, …

source: https://godzilla.dev/learning/ai_quant_traders_series_8/ See below for godzilla.dev materials about: AI x Quant Trader Series - Day 8 AI × Quant Trader Series — Day 8¶ What is High Frequency Trading?¶ Reading time: ~15 minutes Prerequisites: basic programming, financial markets Focus: engineering intuition, system architecture (not trading strategies) Part 1: Introduction¶ When people hea…

The Quest Begins (The "Why") Honestly, I started down this rabbit hole because I kept hearing the same hype: “HFT firms make millions in microseconds!” My buddy at a fintech startup bragged about his rig pulling in profits while I was still stuck debugging a cron job that ran every five minutes. I felt like a low‑level grunt watching the final boss dance around me, untouchable. The question that …

Most retail algorithmic trading bots rely heavily on legacy technical analysis indicators—think RSI, MACD, or Bollinger Bands. While these indicators are easy to calculate, they suffer from a fatal flaw: they are lagging metrics derived entirely from historical price adjustments. In high-frequency, institutional environments, relying on simple moving averages is like trying to drive a car while l…

If you've ever scrolled through Polymarket or Kalshi wondering whether the "wisdom of crowds" is actually wisdom—or just organized noise—you're not alone. A new paper, "How Wise is the Crowd? Bias and Edge in Prediction Markets," tears into the microstructure of modern prediction markets to ask a practical question: Who's actually making money, and who's just paying for the privilege of being lou…

Table of Contents The Price of US Market Efficiency Instrument Adverse Selection First: Why VPIN and OFI Are Not Academic…

I recently went down a rabbit hole connecting OS internals with real-world low-latency systems. While learning about process management in operating systems, I kept wondering: “Where does this level of optimization actually matter?” That eventually led me to High-Frequency Trading systems — one of the few domains where microseconds can literally mean money. So I decided to break down how modern H…

In this paper, we consider estimating spot/instantaneous volatility matrices of high-frequency data collected for a large number of assets. We first combine classic nonparametric kernel-based smoothing with a generalized shrinkage technique in the matrix estimation for noise-free data under a uniform sparsity assumption, a natural extension of the approximate sparsity commonly used in the literat…

After the fourth week of trading in the Stevens High Frequency Trading Competition, we now have a solo leader and an emerging group tied for second place overall. Taking first place this week in terms of P&L, we congratulate “Stevens Quants,” which, as you may have

After the third week of trading in the Stevens High Frequency Trading Competition, we now have a tie for first place! This week’s theme was “Illiquid,” which made teams have to rethink their strategies after they had been trading large cap stocks the previous two weeks.

Table of Contents The Counterintuitive Inversion: When a 50.8% Reject Rate Is Your Best Defense The Single-Metric Trap: Why Execution…

Build and backtest intraday trading strategies using Python with step-by-step examples for high-frequency market analysis.

By Ariel Silahian | 20+ years building HFT infrastructure | Creator of VisualHFT Table of Contents The $1.25M Planning Failure…

The research paper titled “Transforming Financial Markets: Goldman Sachs’ Integration of Artificial Intelligence in Algorithmic Trading Systems” examines how artificial intelligence is reshaping modern financial trading by enhancing the capabilities of traditional algorithmic systems. It highlights the limitations of conventional methods in handling large volumes of high-frequency and unstructure…

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High Frequency Trading (HFT) firms are among the most technologically advanced participants in modern financial markets. These firms use powerful algorithms, advanced data analysis, and ultra-fast infrastructure to execute trades in milliseconds. The United States is home to many of the top HFT firms in the USA, including companies that operate some of the most […]

Financial markets have evolved rapidly over the past two decades, andderivatives trading has become an important component of modern financialsystems. Among various derivative instruments, options trading offerstraders flexibility in expressing market views, managing risk, and buildingstrategic positions based on direction, volatility, and time. However, despiteits growing popularity, many trader…