This presentation by Think Big principal Matt Cooke and Martin Oberhuber, Senior Data Scientist, discusses high frequency trading, requirements for success, and underlying architectures which may include Apache Spark.

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7. Big Data for Finance –
Challenges in High-Frequency Trading
Graphic by Stamen

8. Using computer algorithms to rapidly trade securities
• Positions are held for seconds to minutes
• Reaction times to market changes are sub-
millisecond.
• HFT accounts for more than 60% of all trading
volume in some markets
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9. •Speed
Latencies in electronic trading are usually measured in microseconds
HFT firms co-locate with exchanges to reduce latency
•Strong predictions
Due to market efficiency it is challenging to come up with robust
predictive models
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10. c = 2.9979x108
m / s
Fibre Optic Microwave
Refractive Index (v) 1.5 1.0003
Round-trip time
Chicago/New Jersey
~8ms ~13ms
RoundTripTime =
c*v
dist
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12. time price order_flag size
1336732593.051448 571.00 Ask_cancel 108
1336732593.096281 571.06 Ask_add 922
1336732593.138566 571.19 Bid_add 230
1336732593.179509 571.26 Bid_add 731
1336732593.249253 571.28 Trade 280
1336732593.321581 571.33 Bid_cancel 933
1336732593.369489 571.36 Ask_cancel 676
1336732593.396394 571.37 Trade 489
1336732593.403784 571.39 Bid_cancel 780
1336732593.471040 571.48 Trade 465
1336732593.485026 571.54 Bid_cancel 668
1336732593.585481 571.55 Ask_cancel 814
1336732593.699121 571.63 Ask_cancel 286
1336732593.704077 571.74 Ask_add 424
1336732593.820406 571.82 Ask_cancel 789
1336732593.865808 571.88 Bid_cancel 258
1336732593.912195 571.89 Bid_cancel 579
1336732593.916676 571.91 Ask_add 241
1336732593.941828 571.95 Bid_add 528
1336732593.965397 571.99 Trade 300
• Liquid stocks >10
million messages
per day
• NYSE produces
~1TB of market
data per day
• Market data
from all relevant
exchanges is
collected
© 2015 Think Big, a Teradata Company

13. time price order_flag size
1336732593.051448 71.00 Ask_cancel 108
1336732593.096281 71.06 Ask_add 922
1336732593.138566 71.19 Bid_add 230
1336732593.179509 71.26 Bid_add 731
1336732593.249253 71.28 Trade 280
1336732593.321581 71.33 Bid_cancel 933
1336732593.369489 71.36 Ask_cancel 676
1336732593.396394 71.37 Trade 489
1336732593.403784 71.39 Bid_cancel 780
1336732593.471040 71.48 Trade 465
1336732593.485026 71.54 Bid_cancel 668
1336732593.585481 71.55 Ask_cancel 814
1336732593.699121 71.63 Ask_cancel 286
1336732593.704077 71.74 Ask_add 424
1336732593.820406 71.82 Ask_cancel 789
1336732593.865808 71.88 Bid_cancel 258
1336732593.912195 71.89 Bid_cancel 579
1336732593.916676 71.91 Ask_add 241
1336732593.941828 71.95 Bid_add 528
1336732593.965397 71.99 Trade 300
© 2015 Think Big, a Teradata Company
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14. Matching
Engine
Exchange 1
Scoring
Platform
News,
Twitter…
Compute
Cluster, e.g.
Hadoop,
Flat files
Data Science
Matching
Engine
Exchange 2
Scoring
Platform
Market
Data
Orders
Market & scoring
data, orders
Ingestion
Data
Data
Model deployment
Model storage
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15. Questions
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16. WE ARE HIRING
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