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The potential for real-time testing of high-frequency trading strategies through a developed tool during volatile market conditions

Vaitonis Mantas, Korovkinas Konstantinas

Applied Computer Science

2023

Vol. 19, no 2

63--81

This study presents a method for testing high-frequency trading (HFT) for algorithms on GPUs using kernel parallelization, code vectorization, and multidimensional matrices. The research evaluates HFT strategies within algorithmic cryptocurrency trading in volatile market conditions, particularly during the COVID-19 pandemic. The study's objective is to provide an efficient and comprehensive approach to assessing the efficiency and profitability of HFT strategies. The results show that the method effectively evaluates the efficiency and profitability of HFT strategies, as demonstrated by the Sharp ratio of 2.29 and the Sortino ratio of 2.88. The authors suggest that further study on HFT testing methods could be conducted using a tool that directly connects to electronic marketplaces, enabling real-time receipt of high-frequency trading data and simulation of trade decisions. Finally, the study introduces a novel method for testing HFT algorithms on GPUs, offering promising results in assessing the efficiency and profitability of HFT strategies during volatile market conditions.

Connectivity Solutions in Automated Trading

Popławski P.

International Journal of Electronics and Telecommunications

2015

Vol. 61, No. 4

403-408

The study analyzes the architecture and deployment of direct market access (DMA) solutions for automated trading of securities. It provides an overview of automated trading systems including: trading floor architecture, trading environment connectivity, and DMA solutions. Among a range of factors influencing operational capacities, round-trip latency has been recognized as the key quality differentiator of an automated trading floor. The study identifies potential opportunity costs due to latency levels as a major driver of technological progress in trading in highly liquid market conditions.