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HighFrequency Foreign Exchange Currency (高频外汇货币)
High-Frequency Foreign Exchange Currency Trading
(Forex HFT)
Spring 2016
Members: Graham Gobieski, Kevin Kwan, Ziyi Zhu, Shang Liu
UNIs: gsg2120, kjk2150, zz2374, sl3881
Table of Index
1. Background
2. Design Overview
2.1 Identification of Arbitrage
2.2 Pipeline
3. Data and Communication
3.1 Raw Data
3.2 Preprocesing and Floating-Point Approximation
3.2.1 Logarithm
3.2.2 Rounding
3.3 Communication
4. Graph Storage
5. Bellman-Ford Algorithm
5.1 Bellman-Ford Algorithm
5.2 Bellman-Ford on FPGA
5.2.1 Sorting Module
5.2.2 Filter Module
5.2.3 Relaxation Module
5.3 Cycle Detection
6. Decision-Making
7. Milestones
7.1 Milestone 1 (March 31st)
7.2 Milestone 2 (April 12th)
7.3 Milestone 3 (April 26th)
8. References
1. Background
High frequency trading is a trading platform that uses computer algorithms and powerful technology tools to perform a large number of
trades at very high speeds. Initially, HFT firms operated on a time scale of seconds, but as technology has improved, so has the time
required to execute a trade. Firms now compete at the milli- or even microsecond level. This has led to many firms turning to field
programmable gate arrays (FPGAs) to achieve greater performance.
Our project focuses on triangular arbitrage opportunities on the foreign exchange market (Forex). The Forex market is a decentralized
marketplace for trading currency. All trading is conducted over the counter via computer networks between traders around the world.
Unlike the stock market, the Forex market is open 24 hours for most of the week.
Currencies are priced in relation to each other and quoted in pairs that look like this: EUR/USD 1.1837 . The currency on the
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