Spreadsheets are great tools for many tasks related to trading. Organizing data, visualizing results, even calculating complex formulas are strong reasons for their ubiquitous use in the industry. As your needs grow however, certain aspects of spreadsheets can become problematic.…
In the high frequency trading world, distance is everything. But for those outside the HFT arena, what role does distance play? Let’s start with some hard numbers. Network Latency I have a virtual private server (VPS) in New York, New…
TLDR – The devil is in the details when optimizing critical components. Can you write an order book algorithm that is optimized? First let’s tear apart the question: An order book algorithm The algorithm is certainly an important piece. A…
As our order book is a collection of bids and asks, let’s create a naive implementation: Ok, so there is the basics. But with plenty of issues. Firstly, we will almost always be expecting those collections to be sorted. So…