November 2019
Beginner
394 pages
10h 31m
English
Content preview from Learn Algorithmic Trading
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Latency variance
In an algorithmic trading setup, there are many hops between when the market data first reaches the trading server and when the order flow in response to the new data reaches the trading exchange. First, the market data feed handler reads it and decodes it, the trading strategy then receives the normalized market data, and then the strategy itself updates the trading signals based on the new market data and sends new orders or modifications to existing orders. This order flow then gets picked up by the order gateway, converted to an exchange-order-entry protocol, and written to the TCP connection with the exchange.
The order finally gets to the exchange after incurring latency equal to the transmission latency from the trading ...
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