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Design and Optimization of Automated Trading System
Ondo, Ondrej ; Gancarčík, Lukáš (referee) ; Budík, Jan (advisor)
This thesis focuses on automated trading systems for foreign exchange markets. It describes theoretical background of financial markets, technical analysis approaches and theoretical knowledge about automated trading systems. The output of the thesis is set of two automated trading systems built for trading the most liquid currency pairs. The process of developing automated trading system as well as its practical start up in Spartacus Company Ltd. is documented in the form of project documentation. The project documentation captures choosing necessary hardware components, their installation and oricess of ensuring smooth operation, as well as the selection and installation of the necessary software resources. In the Adaptrade Builder enviroment there has been shown the process of developing strategies and consequently theirs characteristics, performance, as well as a graph showing the evolution of the account at the time. Selected portfolio strategy has been tested in the MetaTrader platform and in the end of the thesis is offered assessing achievements and draw an overall conclusion.
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High-Frequency Trading Using External DRAM
Nevrkla, Lukáš ; Kořenek, Jan (referee) ; Martínek, Tomáš (advisor)
The primary part of low-latency trading is a machine that can trade with lower latency than any other trader. Hardware-accelerated platforms can reduce trading latency down to hundreds of nanoseconds. This work focuses on a specific data structure (Order Book) inside this hardware platform that manages the current market price levels. The current implementation manages this data structure inside the software of the hosting machine, and only a few best price levels are inside the hardware. Synchronization between hardware and software has a latency in the order of microseconds. Therefore the best price levels are sometimes unavailable inside the hardware platform. This work presents a solution for managing this structure inside FPGA while saving its content inside the external dynamic memory. The new solution reduces the latency down to 150–200 nanoseconds with occasional (2 % cases) increase to 450–650 nanoseconds. Lower latency will help the trading platform react faster to larger stock market changes which are very important for traders.
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Design and Optimization of Automated Trading System
Ondo, Ondrej ; Gancarčík, Lukáš (referee) ; Budík, Jan (advisor)
This thesis focuses on automated trading systems for foreign exchange markets. It describes theoretical background of financial markets, technical analysis approaches and theoretical knowledge about automated trading systems. The output of the thesis is set of two automated trading systems built for trading the most liquid currency pairs. The process of developing automated trading system as well as its practical start up in Spartacus Company Ltd. is documented in the form of project documentation. The project documentation captures choosing necessary hardware components, their installation and oricess of ensuring smooth operation, as well as the selection and installation of the necessary software resources. In the Adaptrade Builder enviroment there has been shown the process of developing strategies and consequently theirs characteristics, performance, as well as a graph showing the evolution of the account at the time. Selected portfolio strategy has been tested in the MetaTrader platform and in the end of the thesis is offered assessing achievements and draw an overall conclusion.
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