Building the C++ Trading Algorithm’s Building Blocks

In this chapter, we will build components that make up the intelligence in our trading applications. These are the components that the trading strategies will rely on very heavily to make decisions, send and manage orders, track and manage positions, profits and losses (PnLs), and manage risk. Not only do the trading strategies need to track the trading PnLs since the goal is to make money, but these components also need to track the PnLs to decide when to stop trading if needed. We will learn how to compute complex features from market data updates, track trading performance based on order executions and market updates, send and manage live strategy orders in the market, and manage market risk. In this chapter, we will cover the following topics:

• Reacting to executions and managing positions, PnLs, and risk
• Building the feature engine and computing complex features
• Using executions and updating positions and...