(High Frequency Trading Graphical User Interface)

How to test it…

Testing of HFT GUI

EXTENT Conference April 13, 2012, Kostroma, Russia

Trading Client

PricePRICE SIZE SIDE

So…

60Hz and 24 frame per sec

>100 M orders per day

>1000 updates per second

Human and machine view on the picture during HFT

60Hz and 24 frame per sec

>1000 updates per second

>100 M orders per day

There is no way to check manually

• Trading environment

• Read data from the GUI of application

No additional operations for decoding data

Do not guarantee the receipt of information on any interface;

High load on the CPU and memory

Need a high speed storage device;

Need to recognize useful information from bitmaps; Miss some parts of data; Applicable to all interfaces; Fast and reliable

• Terminal servers

• Windows controls

• Video card driver

• Hooks

• Microsoft Detours

Detours is a library for instrumenting arbitrary Win32 functions on x86, x64, and IA64 machines. Detours intercepts Win32 functions by rewriting the in-memory code for target functions. The Detours package also contains utilities to attach arbitrary dynamic-link libraries (DLLs) and data segments (called payloads) to any Win32 binary.

SetDIBitsForDevice function

http://research.microsoft.com/en-us/projects/detours/

• Our algorithm

• Comparison

ComparisonLog file withMD flow

MD analyzer

Batchconverter

Folder withscreens

OrdersBooks

Sequences

OrdersBooks

Sequences

• Feedback from real application testing

QUESTIONS ARE

WELCOME