Rigorous Specification and Low-Latency Implementation of Technical Market Indicators

Konstantin Bakanov; Ivor Spence; Hans Vandierendonck; Charles J Gillan

doi:10.1145/2567634.2567636

Rigorous Specification and Low-Latency Implementation of Technical Market Indicators

Konstantin Bakanov, Ivor Spence, Hans Vandierendonck, Charles J Gillan

Research output: Contribution to conference › Paper › peer-review

697 Downloads (Pure)

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 language	English
Number of pages	9
DOIs	https://doi.org/10.1145/2567634.2567636
Publication status	Published - 16 Feb 2014
Event	Parallel Programming for Analytics Applications 2014 - Orlando, United States Duration: 16 Feb 2014 → 16 Feb 2014

Conference

Conference	Parallel Programming for Analytics Applications 2014
Country/Territory	United States
City	Orlando
Period	16/02/2014 → 16/02/2014

Keywords

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

Access to Document

10.1145/2567634.2567636

Rigorous specification and low-latency implementation of technical market indicators
© ACM, 2014. This is the author's version of the work. It is posted here by permission of ACM for your personal use. Not for redistribution. The definitive version was published in PPAA '14 Proceedings of the first workshop on Parallel programming for analytics applications Pages 43-52} http://doi.acm.org/10.1145/2567634.2567636"
Submitted manuscript, 278 KB

R6394CSC: Software management of hybrid DRAM/NVRAM memory systems
Nikolopoulos, D. & Vandierendonck, H.
01/08/2012 → …
Project: Research

A language for expressing technical market indicators, its optimisation and application
Author: Bakanov, K., Jul 2020
Supervisor: Spence, I. (Supervisor) & Vandierendonck, H. (Supervisor)
Student thesis: Doctoral Thesis › Doctor of Philosophy

File

Cite this

@conference{26d993b60fbf40e1843851ac9328bdf9,

title = "Rigorous Specification and Low-Latency Implementation of Technical Market Indicators",

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{\textquoteright} programming errors.",

keywords = "domain-specific languages, technical market indicators, in-kernel processing, click router",

author = "Konstantin Bakanov and Ivor Spence and Hans Vandierendonck and Gillan, {Charles J}",

year = "2014",

month = feb,

day = "16",

doi = "10.1145/2567634.2567636",

language = "English",

note = "Parallel Programming for Analytics Applications 2014 ; Conference date: 16-02-2014 Through 16-02-2014",

}

TY - CONF

T1 - Rigorous Specification and Low-Latency Implementation of Technical Market Indicators

AU - Bakanov, Konstantin

AU - Spence, Ivor

AU - Vandierendonck, Hans

AU - Gillan, Charles J

PY - 2014/2/16

Y1 - 2014/2/16

N2 - 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.

AB - 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.

KW - domain-specific languages

KW - technical market indicators

KW - in-kernel processing

KW - click router

U2 - 10.1145/2567634.2567636

DO - 10.1145/2567634.2567636

M3 - Paper

T2 - Parallel Programming for Analytics Applications 2014

Y2 - 16 February 2014 through 16 February 2014

ER -

Rigorous Specification and Low-Latency Implementation of Technical Market Indicators

Abstract

Conference

Keywords

Access to Document

Fingerprint

Projects

R6394CSC: Software management of hybrid DRAM/NVRAM memory systems

Student theses

A language for expressing technical market indicators, its optimisation and application

Cite this