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…
Let’s build some tests to exercise our order book. Test will not only include the basics, but we’ll throw in some tests to help get some performance numbers as well. Here is the idea: The Basics There will need to…
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…
I have been thinking more about a market order book. It is an interesting challenge for a number of reasons: Using an iterative and incremental approach, let’s build an order book. I’m not going to talk about what a market…
I have an application that needs the MySQL C++ Connector. Unfortunately, I have been unable to find a binary version of MySQL or MySQL Connector that works on an Amazon EC2 instance. Here are my notes about how I am…
Even the monolithic “Thick Client” software applications have layers. You may need to look for them, but they are there. How well these layers are separated impacts the performance, maintainability, portability flexibility, and security of the end product. Let’s explore…
Say you’re a trader, add “AI” and “Machine Learning” into your conversation, and a large group of people befriend you on social media, ask you a large number of questions, and later say they want to do it but it…
Can you have a single application that works on all platforms? Yes, you can. There are a number of ways to do that. But should you? The Case For Single Code Base Development is expensive. So writing things once and…
I try to hold back from outright criticism, as the full picture is often not seen. But I am also a consumer. When my experience with using your product is hindered by wait times, it makes me wish more of…
When building trading systems, naturally you want to make the program as fast and as efficient as possible. That is why I love C++. It removes many of the limitations that some programming languages have regarding performance. But that performance…