Trading Application: What’s Inside?
Almost any application that implements a trading strategy has a number of more or less standard components. Let’s first have a quick look at a somewhat generalized architecture of a typical trading application and then go into greater detail on specific points related to the development of a trading strategy using Python.
In Chapter 1, Developing Trading Strategies – Why They Are Different, we saw a very generalized diagram of a typical trading application. Now, we are going to consider its blocks in greater detail. We will learn how to connect our application to data sources and trading venues, how to retrieve data and check its consistency, and consider important points about trading logic and orders.
By the end of this chapter, you will understand how to develop the main components of a trading application that is efficient, maintainable, and scalable, and how to avoid typical serious problems that arise due to incorrect...
