Market Data and Trading

Market Data is the basic brick for a systematic and quantitative trading.

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Further than just simply calculating Greeks from the different variations of the Black-Scholes model, realtime and financial trade data opens unlimited opportunities for trading.

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For example, during 2011, I created a systematic trading strategy based on volume prediction to reduce the impact of huge trades for the Delta One trading desks in a big bank.

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Apart of it, I created some HFT systems (for huge European banks). With this experience, I identified there are some common components and architectures that we can consider as key elements of these systems.

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And last, but not least, the integration of HFT - Trading and Market Systems with the Data Analytics, is an expected step. Most of the times, I've seen the new Data Analytics departments lost in the specific data related technology with increased complications to link with trading and financial technology. My proposal in these cases is to use the DevOps Software Engineering to help in this integration. Here (An example of moving to Data Analytics Realtime architecture from HFT and E2E DevOps) I describe a real case for a real client.