November 2019
Beginner
394 pages
10h 31m
English
After confirming that there are no outstanding market data issues, the next step is to look into the underlying latency assumptions in the backtester. In a modern algorithmic trading setup, there are many hops in between the exchange matching engine that generates market data and the trading strategy that receives the decoded and normalized market data, and then between the trading strategy that decides to send the order flow out to the exchange until it is actually received by the exchange matching engine. With modern improvements in server hardware, network switch, network card, and kernel bypass technologies, it is possible to record the timestamps between each of these hops very precisely in nanoseconds ...