Fast construction of nanosecond level snapshots of financial markets

Jiading Gai; Dong Ju Choi; David O'neal; Mao Ye; Robert S. Sinkovits

doi:10.1145/2484762.2484825

Fast construction of nanosecond level snapshots of financial markets

Jiading Gai, Dong Ju Choi, David O'neal, Mao Ye, Robert S. Sinkovits

Research output: Chapter in Book/Report/Conference proceeding › Conference contribution

Abstract

The goal of this project is to rapidly construct an order-by-order level snapshot of financial markets with nanosecond-resolution time stamps. We are particularly interested in understanding the impact of high-frequency traders on the security, stability and fairness of these markets. In this paper, we describe our computational approach, the optimizations that were applied to improve the performance of the software by a factor of more than 125x and the new capabilities that can be enabled using a combination of fast algorithms and XSEDE resources.

Original language	English (US)
Title of host publication	Proceedings of the XSEDE 2013 Conference
Subtitle of host publication	Gateway to Discovery
DOIs	https://doi.org/10.1145/2484762.2484825
State	Published - 2013
Event	Conference on Extreme Science and Engineering Discovery Environment, XSEDE 2013 - San Diego, CA, United States Duration: Jul 22 2013 → Jul 25 2013

Publication series

Name	ACM International Conference Proceeding Series

Other

Other	Conference on Extreme Science and Engineering Discovery Environment, XSEDE 2013
Country	United States
City	San Diego, CA
Period	7/22/13 → 7/25/13

Keywords

High-frequency trading
Performance optimization

ASJC Scopus subject areas

Software
Human-Computer Interaction
Computer Vision and Pattern Recognition
Computer Networks and Communications

Access to Document

10.1145/2484762.2484825

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Cite this

Gai, J, Choi, DJ, O'neal, D, Ye, M & Sinkovits, RS 2013, Fast construction of nanosecond level snapshots of financial markets. in Proceedings of the XSEDE 2013 Conference: Gateway to Discovery., 24, ACM International Conference Proceeding Series, Conference on Extreme Science and Engineering Discovery Environment, XSEDE 2013, San Diego, CA, United States, 7/22/13. https://doi.org/10.1145/2484762.2484825

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author = "Jiading Gai and Choi, {Dong Ju} and David O'neal and Mao Ye and Sinkovits, {Robert S.}",

note = "Copyright: Copyright 2013 Elsevier B.V., All rights reserved.; Conference on Extreme Science and Engineering Discovery Environment, XSEDE 2013 ; Conference date: 22-07-2013 Through 25-07-2013",

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