How to Rapidly Build a High 

Frequency Trading System

Presented By:
Today’s Hosts

Richard Tibbetts, CTO, StreamBase Systems

Richard Tibbetts is co-founder and Chief Technology Officer at StreamBase,

Richard provides technical leadership for the company and leads architecture
design for StreamBase’s Event Processing Platform. Richard is also
responsible for furthering new StreamBase capabilities such as StreamBase’s
‘white box’ application frameworks, for example, the FX Aggregation
Framework.

Chad Cook, Director Technology and Information Security, Lime

Brokerage

Chad Cook leads and manages Lime Brokerage’s high-performance trading

infrastructure including software development, IT and technical support. He is
one of the architects of Lime Brokerage’s technology and oversees information
security for the company.
Agenda

ƒ Company Overviews

ƒ How to Build a High Frequency Trading System

− Step 1: Connect and subscribe to low latency market data

DEMO: Connecting and subscribing to the Lime Citrius™ Quote Delivery System

− Step 2: Normalize the low latency market data feed

DEMO: Creating a normalization application

− Step 3: Rapidly build a high frequency trading application

DEMO: Building a high frequency trading application within StreamBase Studio

− Step 4: Automate your execution management

DEMO: Connecting the trading application to Lime’s Execution Services

ƒ Joint Customer Use Case

ƒ Next Steps
StreamBase: Complex Event Processing

Static Data Processing: “When was the price of

BAC below its trailing 5 minute VWAP yesterday?

TIME

Complex Event Processing: “What equities are

below their trailing 5 minute VWAP right now and
where can I find liquidity?”
StreamBase Platform – Components

Visualization
Developer Studio
Graphical StreamSQL for developing,
backtesting and deploying applications.

Input Adapter(s)
Inject streaming (market
data) and static (reference
data) sources.

Event Processing Server Output Adapter(s)

High performance optimized engine Send results to systems,
can process events at market data users, user screens and
speeds. databases.
Lime Brokerage

ƒ Founded in 2000 by former CSFB traders

and technologists

ƒ Leader in the high-frequency trading arena

ƒ Developed proprietary market data, execution and risk

management technology

ƒ Expertise in building high-performance software,

systems and networks

ƒ Point-to-point connectivity to
Market Centers; Dark Fiber where
available
Lime Brokerage Market Data Offering

ƒ Real-time proprietary quote delivery

system

ƒ Flexible, streamlined toolkit simplifies receipt of market

data

ƒ Data normalization across venues and protocols

ƒ Best performance obtained with co-located servers in

Lime Data Centers on Lime Network

ƒ Data and server redundancy for

high availability
Lime Brokerage Execution Services

ƒ High throughput, low latency design for

extremely efficient order management
and scalability

ƒ FIX interface – normalized access to wide variety of

order types

ƒ C/C++ and Java trading APIs for simplified trading

ƒ Inline solution, microseconds for through-box

operations

ƒ Fault-tolerant trading systems

How to Build a High Frequency Trading System

Step One:
Connect and subscribe to low latency
market data
How to Build a High Frequency Trading System

Step Two:
Normalize the low latency market data feed
How to Build a High Frequency Trading System

Step Three:
Rapidly build a high frequency trading
application
How to Build a High Frequency Trading System

Step Four:
Automate your execution management
Recap: How to Build a HFT System

Step 1: Connect and subscribe to low latency market data

Step 2: Normalize the low latency market data feed

Step 3: Rapidly build a high frequency trading application

Step 4: Automate your execution management

Joint Customer Use Case: PhaseCapital

erage
a s e a d ap te r to Lime Brok s to
“The StreamB a n d F IX e n gine allows u ƒ Situation
t data
Citrius marke c t o ur p ro prietary tradin
g
n n e
seamlessly c
o th data and − High frequency firm seeks to enhance and improve the
m u lt ip le m arkets for bo
system to development of high frequency trading applications and
execution.” connect those applications to multiple markets for both
ital data and execution
Pritch ett , C E O, PhaseCap
E ric
ƒ Solution
− StreamBase CEP + Lime Brokerage

ƒ Why Lime?
- High speed low latency data feeds

- Access to multiple markets for data and order execution

me out
ua ti o n of CEP, StreamBase ca
“In our eval ƒ Why StreamBase?
on top.”
l - Rapid application development capabilities
O, PhaseCapita
Eric Pritchett, CE
- Real-time market data feed processing

- High performance, scalability and availability

How to Build a High Frequency Trading System

How easy is it to configure and

implement these and other algos into
my HFT system?
How to Build a High Frequency Trading System

What is being done to reduce

message latency?
How to Build a High Frequency Trading System

How do StreamBase and Lime

approach co-location?
How to Build a High Frequency Trading System

How do StreamBase and Lime handle

fault tolerance and resiliency?
How to Build a High Frequency Trading System

What asset classes are offered

by Lime?
Next Steps: Meet and Download

1) MEET

• StreamBase has offices in New York, London and Boston

2) DOWNLOAD

• Download a full trial version of StreamBase:

http://www.streambase.com/developers-downloads.htm

3) CONTACT

• StreamBase
Call: +1 866 787 6227 (North America) -or- +44 (0) 20 7002 1095 (Europe)
Email: sales@streambase.com Web: www.streambase.com

• Lime Brokerage
Call: +1 212 824 5000 (Main Office)
Email: info@limebrokerage.com Web: www.limebrokerage.com