This is a summary of links featured on Quantocracy on Saturday, 09/11/2021. To see our most recent links, visit the Quant Mashup. Read on readers!
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New Site! Designing a high-frequency-trading system/simulation lab [Caravaggio in Binary]This text is a primer on how to develop a high-frequency-trading system/simulation lab, with focus on the Nasdaq exchange and the ITCH protocol. The code is entirely written in C and follows the data-oriented-design methodology. The reason for picking C instead of C++, when the latter is the de-facto language in the industry, is because C is a very simple language to understand (and optimize),