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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…

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…

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…

One of my first memories of learning market mechanics was a cover article of an issue of “Technical Analysis of Stocks and Commodities” that detailed some aspects of risk. I had never explored the subject, and was surprised by what…

Just as I have done for Interactive Brokers, I am also sometimes asked to build interfaces to CQG. While it is not as developed as Interactive Brokers, I have decided to offer what I have to the open source community.…

I often build trading systems for users of Interactive Brokers. Rather than build the common utilities over and over, I have developed a small “toolbox” that contains what I often need. I have decided to make this toolbox available to…