Wall Street Code
A thrilling documentary about a genius algorithm builder who dared to stand up against Wall Street. Haim Bodek aka The Algo Arms Dealer. Haim Bodek is a former Goldman and UBS trader who has come firmly out against how stock exchanges work with high frequency traders. Mr. Bodek had worked with rapid-fire trading firms to give them an unfair edge over everyday investors. He became convinced exchanges were providing such an edge after he says he was offered one himself when he ran a high-speed trading firm—a way to place orders that can be filled ahead of others placed earlier. More information on the different order types can be found here.
For those of you who want to dig deeper into the topic of high frequency trading we have put together some useful links:
Algorithmic Trading System Design
- Algorithmic Trading System Architecture
- Algorithmic surrealism: A slow-motion guide to high-frequency trading
- Big FPGA Boards – ASIC Prototyping – High Performance Computing
- Choosing the right memory for high performance FPGA platforms
Volume and Order Flow
- Flow Toxicity and Liquidity in a High Frequency World
- The Flash Crash: High Frequency Trading in an Electronic Market
- The Price Impact of Order Book Events
Ticker Plant and Market Data
Info and news on algorithmic trading
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