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…
I’m dreaming here. But if I were to build the ultimate framework for algorithmic trading, what would it look like? Purpose One purpose would be to concentrate more on the algorithm, and less on the mechanics that all strategies need.…
I have been battling an internal war. The question: In which format should data be stored in? Twenty years ago, the question was fairly simple. Much was moving from proprietary storage systems to relational database management systems. That was a…
I am very much a C++ person. I warmed up to the language as it was warring with C for programmers and popularity. Although I used neither for my “day job” ex/cept on rare occasions, I jumped at opportunities to…
I have been building out some algorithms that rely on detecting “consolidation”. Chartists know what that looks like, but the term by itself is extremely vague to a quant. What to do? I have often thought about the method used…
This is part 3 of a series on improving performance. Click here for part 1, and here for part 2. Now that the basics are done, it is time to start thinking more about testing. Some may say “but what…
This is part two of my order book exercise. To start at the beginning, click here. The initial commit of my order book uses a std::map as a collection of bids and asks. That works, but it has a problem.…
As an academic exercise, I wanted to take on building a matching engine in C++. The purpose here is to iterate through the process of measuring and improving performance. I imagine the initial requirements as naive, with later iterations including…