Stevens High Frequency Trading System: A Presentation
SHIFT project is aiming at building a high frequency trading strategy testing platform. We are targeting at a flexible, productive and real environment tool in both education and research fields. This project is started by students in Financial Engineering department in Stevens, coding in C++. A patent for this system is pending.
The SHIFT system consists of 4 components: database server, matching server, information center and clients. All parts work as replaceable modules with extension for dealing with different instruments, including equities, options, and commodities so on.
The SHIFT system fills the needs of studying High Frequency Trading, Algorithmic Trading as well as market behavior at the microstructure level. We can use SHIFT to study market crashes using real data and real time sequences instead of simulated data which is the usual practice today. As a platform SHIFT creates an environment which allow students and researchers to learn coding and to apply theoretical methods to simulated markets with real data.