Summary
In this chapter, our primary focus was on adding intelligence and sophistication to the market participants’ trading systems. First, we discussed our market-making and liquidity-taking trading strategies. We discussed the motivation behind these strategies, how they seek to profit in the markets, and the trading dynamics of these algorithms.
We implemented the important components that make up the intelligence around our trading strategies. The first one was the feature engine that’s used to compute trading features/signals from the market data so that they can be used by the trading strategies to make informed trading decisions. The next one was the position keeper, which is in charge of tracking a trading strategy’s positions and PnLs as the strategy’s orders are executed in the market. After, we looked at the order manager component, which sends and manages live orders in the market to simplify the trading strategy’s implementation....
