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

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
6/6Inversión 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