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.
|Title of host publication||Proceedings of the 2019 International Conference on High Performance Computing & Simulation (HPCS)|
|Publication status||Early online date - 09 Sep 2020|
Student thesis: Doctoral Thesis › Doctor of PhilosophyFile