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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

Critical components

Gateways, a book builder, strategies, and an OMS are the critical components of any trading system. They gather the essential functions you need to start trading. We measure the performance of a trading system in terms of speed by adding the processing time of all the critical components. We start a timer when a price update gets into the entrance of the trading system and we stop the timer when the order triggered by this price update goes out from the system. This time is called the tick-to-trade or tick-to-order.

In the most recent systems, this time is in the order of microseconds (around 10 microseconds). When optimized with special hardware and software programming, this time can even be reduced to nanoseconds (around ...

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Publisher Resources

ISBN: 9781789348347Supplemental Content