Summary

This chapter focused on using all the components we have built over the last two chapters and leveraging them to build our intelligent trading strategies – the MM trading strategy and the liquidity taking trading algorithm. We spent some time understanding the theory, motivation, and behavior of these two trading algorithms with some examples.

In the next two sections, we implemented the C++ MM trading algorithm, which manages passive orders, and the liquidity taking algorithm, which sends aggressive orders to the market.

Then, we built the trading engine framework that ties together the market data consumer, the order gateway, the feature engine, the position keeper, the order manager, and the risk manager together with the two trading algorithms. This framework is what we use to join all these components together and facilitate the flow of incoming and outgoing data streams and trading intelligence.

Finally, we built the main trading application, trading_main...