Chapter 3: Understanding the Trading Exchange Dynamics
In the previous chapter, we learned how to create High-Frequency Trading (HFT) systems. We focused intensely on the critical components of a trading system. We also reviewed in detail how to create an order book, which is basically a replication of what an exchange collects from all the trading participants. In this chapter, we are going to study how an exchange works.
We will describe the functional components of an exchange and we will focus in depth on the matching engine. Understanding how the matching engine of an exchange works is one of the most important tasks you will have to do when creating HFT strategies.
This chapter will cover the following topics:
- Understanding trading exchanges ...
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