Low Latency Trading

Low Latency Trading

Opportunities for arbitrage were analysed from custom built market data sources, trading on price discrepancies in different markets. This analysis then fed into a trading model that would participate in short trading windows, made available by inefficiencies in global markets. The trading model used a number of different factors to make fast trading decisions, and constantly monitored varying latency and jitter on different execution venues for optimum operation.

Trade loss rates of ~2% where achieved via highly informative price signals, that were quickly subsequently embedded in wider market prices. A number of proprietary techniques for optimising communications and data processing ensured excellent fill rates. Trade obfuscation was employed to minimise information leakage, and preventing predatory counter-measures.

Completely automated, the trading system coped with unexpected market movements - and failures to ensure fail-safe operation. The trading system included a custom-built dynamic UI to allow manual tuning of the algorithm in real-time.

Project Details

When: 2008-2012

Model: Custom built

Client: Confidential

Technologies: C++, C#, F#, WPF, SQL


Data Marketplace

Managed Fund Analytics

High Frequency Trade Cost Analysis

Low Latency Trading

Algo Trading

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London, UK