Author Archives: weiqj

About weiqj

High Frequency Trader; Hardcore Programmer; CME Individual Member

QWFIX C++ Equities, Trading, Research and Management

QWFIX C++ Equities is the latest development of the QWFIX product line that targets the US domestic equities trading. Initially we will support five exchanges (NYSE, ARCA, NASDAQ, BATS and Direct Edge). The┬áChallenge Equities trading faces a few challenges compared … Continue reading

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Order Management in Nanoseconds

On one hand, if we compete on speed, there will only be one winner in the market. On the other hand, speed only matters if people are competing on the same (or similar) signal. That’s why even if people don’t … Continue reading

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Faster FAST Decoder – Updated

After I posted the blog about the “faster FAST decoder“, I made some further improvement. Here is the latest result using the same CME data file. Total time = 11.797371 seconds; Packets/entry/maxEntries = 34217764/165204011/116; 0.344773 microsecond per packet; 0.071411 microsecond … Continue reading

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Faster FAST Decoder – Market Data Handler in Nanoseconds

It all started from a linkedin post. A post about the performance of a particular FAST decoder turned into a series of comments with claims and questions. One┬áparticular comment caught my interest, from Mr. Jeffrey M. Birnbaum. He posted the … Continue reading

Posted in High Frequency Trading | 6 Comments

QWFIX C++ HFT CME, HFT Trading, Research and Management

QWFIX HFT CME is an entire suite of high frequency trading platform, fully certified, running in production for CME trading. The main features include: QWFIX C++: Pure C++ algorithm execution engine Sub 5 microsecond tick-to-trade latency Simple, flexible order management … Continue reading

Posted in High Frequency Trading | 3 Comments