Stream-Based Representation and Incremental Optimization of Technical Market Indicators

Konstantin Bakanov, Ivor Spence, Hans Vandierendonck

Research output: Chapter in Book/Report/Conference proceedingConference contribution

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Technical market indicators are used to measure the trends of financial markets. In practice they are conventionally expressed using a non-formal notation or a DSL specific to a certain development platform, which poorly correlates between individual trades and the high-level formulas operating on those trades and leaving very little room for optimization. In this paper we propose a formal, mathematically based notation for expressing technical market indicators, which represents trades as streams of data. We argue that this notation is more accurate and open to optimizations. We express three technical indicators from the ground up, demonstrate our optimization approach, and implement the indicators using Click router runtime. Finally, we benchmark various configurations and versions of the implemented indicators, running in kernel space as well as user space, and discuss the findings.
Original languageEnglish
Title of host publicationProceedings of the 2019 International Conference on High Performance Computing & Simulation (HPCS)
Publisher IEEE
ISBN (Electronic)978-1-7281-4484-9
ISBN (Print)978-1-7281-4485-6
Publication statusEarly online date - 09 Sep 2020


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