Rigorous specification and low-latency implementation of technical market indicators

Authors:
Konstantin Bakanov;Ivor Spence;Hans Vandierendonck;Charles J. Gillan
Affiliations:
Queen's University Belfast, Belfast, United Kingdom;Queen's University Belfast, Belfast, United Kingdom;Queen's University Belfast, Belfast, United Kingdom;Queen's University Belfast, Belfast, United Kingdom
Venue:
Proceedings of the first workshop on Parallel programming for analytics applications
Year:
2014

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Abstract

Technical market indicators are tools used by technical analysts to understand trends in trading markets. Technical (market) indicators are often calculated in real-time, as trading progresses. This paper presents a mathematically-founded framework for calculating technical indicators. Our framework consists of a domain specific language for the unambiguous specification of technical indicators, and a runtime system based on Click, for computing the indicators. We argue that our solution enhances the ease of programming due to aligning our domain-specific language to the mathematical description of technical indicators, and that it enables executing programs in kernel space for decreased latency, without exposing the system to users' programming errors.