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Fast, Low-Memory Algorithm for Construction of Nanosecond Level Snapshots of Financial Markets

Authors:

Robert Sinkovits,

Tao Feng,

Mao YeAuthors Info & Claims

XSEDE '14: Proceedings of the 2014 Annual Conference on Extreme Science and Engineering Discovery Environment

Article No.: 16, Pages 1 - 5

https://doi.org/10.1145/2616498.2616501

Published: 13 July 2014 Publication History

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Abstract

We present a fast, low-memory algorithm for constructing an order-by-order level snapshot of financial markets with nanosecond resolution. This new implementation is 20-30x faster than an earlier version of the code. In addition, since message data are retained only for as long as it they are needed, the memory footprint is greatly reduced. We find that even the heaviest days of trading spanning the NASDAQ, NYSE and BATS exchanges can now easily be handled using compute nodes with very modest memory (~ 4 GB). A tradeoff of this new approach is that the ability to efficiently manage large numbers of small files is more critical. We demonstrate how we can accommodate these new I/O requirements using the solid-state storage devices (SSDs) on SDSC's Gordon system.

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Verhulst MDebie PHageboeck SPennings JGardebroek CNaumann Avan Leeuwen PTrujillo‐Barrera AMoneta L(2021)When two worlds collide: Using particle physics tools to visualize the limit order bookJournal of Futures Markets10.1002/fut.2225141:11(1715-1734)Online publication date: 21-Jul-2021
https://doi.org/10.1002/fut.22251

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Fast, Low-Memory Algorithm for Construction of Nanosecond Level Snapshots of Financial Markets

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Published In

XSEDE '14: Proceedings of the 2014 Annual Conference on Extreme Science and Engineering Discovery Environment

July 2014

445 pages

ISBN:9781450328937

DOI:10.1145/2616498

General Chair:
Scott Lathrop
National Center for Supercomputing Applications
,
Program Chair:
Jay Alameda
National Center for Supercomputing Applications

Permission to make digital or hard copies of all or part of this work for personal or classroom use is granted without fee provided that copies are not made or distributed for profit or commercial advantage and that copies bear this notice and the full citation on the first page. Copyrights for components of this work owned by others than ACM must be honored. Abstracting with credit is permitted. To copy otherwise, or republish, to post on servers or to redistribute to lists, requires prior specific permission and/or a fee. Request permissions from [email protected]

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NSF: National Science Foundation
Drexel University
Indiana University: Indiana University

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Association for Computing Machinery

New York, NY, United States

Publication History

Published: 13 July 2014

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XSEDE '14

XSEDE '14: Annual Conference of the Extreme Science and Engineering Discovery Environment

July 13 - 18, 2014

GA, Atlanta, USA

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XSEDE '14 Paper Acceptance Rate 80 of 120 submissions, 67%;

Overall Acceptance Rate 129 of 190 submissions, 68%

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Verhulst MDebie PHageboeck SPennings JGardebroek CNaumann Avan Leeuwen PTrujillo‐Barrera AMoneta L(2021)When two worlds collide: Using particle physics tools to visualize the limit order bookJournal of Futures Markets10.1002/fut.2225141:11(1715-1734)Online publication date: 21-Jul-2021
https://doi.org/10.1002/fut.22251

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Fast construction of nanosecond level snapshots of financial markets

Computational Models of Algorithmic Trading in Financial Markets

High-Frequency Trading in Bond Returns: A Comparison Across Alternative Methods and Fixed-Income Markets

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