Part 3:Building Real-Time C++ Algorithmic Trading Systems

In this part, we will start building the trading client-side C++ algorithmic trading system. We will be building components that interface with the trading exchange to process market data and connect to and communicate with the exchange order gateway. We will also build the C++ framework on which we will build market-making and liquidity-taking trading algorithms. In the HFT space, this is where participants spend a lot of time and effort trying to reduce latencies and maximize performance (and profits). Finally, we will implement the market-making and liquidity-taking trading algorithms in this framework, run the entire trading ecosystem, and understand the interactions between all the components.

This part contains the following chapters:

• Chapter 8, Processing Market Data and Sending Orders to the Exchange in C++
• Chapter 9, Building the C++ Trading Algorithm Building Blocks
• Chapter 10, Building the C++ Market...