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Learn Algorithmic Trading
book

Learn Algorithmic Trading

by Sebastien Donadio, Sourav Ghosh
November 2019
Beginner content levelBeginner
394 pages
10h 31m
English
Packt Publishing
Content preview from Learn Algorithmic Trading

Price updates

Trading systems need prices for the liquidities that traders choose to trade. For that, it initiates a connection to the exchange to subscribe to liquidity updates.

The following diagram describes the communication between the initiator, which is the trading system, and the acceptor, which is the exchange:

The following diagram represents the FIX messages that are exchanged between the acceptor and the initiator:

Upon reception of these price updates, the trading system updates the books and will place orders based on a given ...

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Publisher Resources

ISBN: 9781789348347Supplemental Content