Rigorous Specification and Low-Latency Implementation of Technical Market Indicators

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Abstract

Technical market indicators are tools used by technical an- alysts to understand trends in trading markets. Technical (market) indicators are often calculated in real-time, as trading progresses. This paper presents a mathematically- founded framework for calculating technical indicators. Our framework consists of a domain specific language for the un- ambiguous specification of technical indicators, and a run- time system based on Click, for computing the indicators. We argue that our solution enhances the ease of program- ming due to aligning our domain-specific language to the mathematical description of technical indicators, and that it enables executing programs in kernel space for decreased latency, without exposing the system to users’ programming errors.
Original languageEnglish
Number of pages9
DOIs
Publication statusPublished - 16 Feb 2014
EventParallel Programming for Analytics Applications 2014 - Orlando, United States
Duration: 16 Feb 201416 Feb 2014

Conference

ConferenceParallel Programming for Analytics Applications 2014
CountryUnited States
CityOrlando
Period16/02/201416/02/2014

Keywords

  • domain-specific languages
  • technical market indicators
  • in-kernel processing
  • click router

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