Rigorous specification and low-latency implementation of technical market indicators

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.