Building the C++ Market Making and Liquidity Taking Algorithms
In this chapter, we will implement a C++ market making algorithm on top of all the components we built in the previous chapters. This market making algorithm will connect to and send orders to the trading exchange we built previously. Additionally, we will implement a C++ liquidity taking algorithm in the same trading engine framework. This liquidity taking algorithm will also connect to and send orders to the trading exchange.
In this chapter, we will cover the following topics:
- Understanding the behavior of our trading algorithms
- Managing the passive liquidity provided in the order book
- Opening and closing positions aggressively
- Building the trade engine framework
- Building and running the main trading application
