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hft is a small project with a big ambition. We aim to build the worlds best algorithmic trading platform using the best off-the-shelf open source technology stack to be found.

hft is created and maintained by Tony Day.

There is no quick start for hft. The easiest way to get up to speed is to read the project blog. If you're interested in contributing to development or find a logic bug, then fork me with:

$ git clone https://github.com/tonyday567/hft.git

The world of high frequency trading is a broad church of opinion, technology, ideas and motivations. hft is being developed using many different tools:

hft.org is the nerve center of active development and contains just about all the important code, research notes and design tools being used.

The project makes heavy use of babel to pick and mix between coding environments and languages, whilst still remaining literate:

The main idea is to regard a program as a communication to human beings rather than as a set of instructions to a computer. ~ Knuth

Similarly, a project such as hft is as much about communication between human beings as it is about maintenance of source code.

R is a strongly functional but imperative language being used for rapid development and research of hft and algo ideas as they arise. Most everything that you can think of (databases, broker interfaces, statistical analysis, visualization) has an R package ready to get you up and going in 5 minutes.

R can be many things but what it is least set up for is development of asyncronous code. To fill this gap, the project is using haskell to frame the system as and when it develops.

Eventually, hft will be broker independent but during the development phase IB is the test case. Interactive has the most mature API that works out of the box and a demo account so that hft can come pre-plumbed so that (eventually) the project can also run out of the box.

Interactive Brokers consolidates tick data into 0.3 second time slices so it isn't appropriate for low-latency work.

Just because it's open-source doesn't mean that it's cost free. iqfeed has been chosen as an initial data feed to base project R&D efforts on. iqfeed costs dollars but the software can be downloaded for free and a demo version allows live data to flow with a lag.

A useful way to support the hft project is to let DTN know if you decide to purshase iqfeed due to the project.

Have a bug or a feature request? Please open a new issue.

hft is sponsored by Scarce Capital as an adjunct to client advisory services.

Follow @scarcecapital on Twitter.

Read, subscribe (and contribute!) to the The Official hft Blog.

The project is partially due to active discussions on the Open Source HFT Linkedin group

Please submit all pull requests against the master branch.

Thanks!

Tony Day

• http://twitter.com/tonyday567
• http://github.com/tonyday567

Copyright 2013 Scarce Capital.

Licensed under the Apache License, Version 2.0 (the "License"); you may not use this work except in compliance with the License. You may obtain a copy of the License in the LICENSE file, or at:

http://www.apache.org/licenses/LICENSE-2.0

Unless required by applicable law or agreed to in writing, software distributed under the License is distributed on an "AS IS" BASIS, WITHOUT WARRANTIES OR CONDITIONS OF ANY KIND, either express or implied. See the License for the specific language governing permissions and limitations under the License.