In the initial chapters of this book, we learned how to create a trading strategy by analyzing historical data. In this chapter, we are going to study how to convert data analysis into real-time software that will connect to a real exchange to actually apply the theory that you've previously learned.
We will describe the functional components supporting the trading strategy based on the algorithm created in the previous chapters. We will be using Python to build a small trading system. We will use the algorithms to build a trading system capable of trading.
This chapter will cover the following topics:
- Understanding the trading system
- Building a trading system in Python
- Designing a limit order book
