This is a draft cheat sheet. It is a work in progress and is not finished yet.
HFT Overall Workflow
* Get the data (market updates) from the exchange
* Make a decision based on this data
* Send orders to the exchange
* Collect answers from the exchange(canceled, rejected, filled, or partially filled)
* Compute metrics measuring the performance of your portfolio (such as profit and loss, risk metrics, or information about the different processes of the trading system). |
|
|
Trading System Architecture
|
|
Trading System Architecture
Gateway In Ensure the communication between the trading system and the venues |
Book Builder Will build the limit order book from the data collected from Gateways |
Strategy Will send the order to the venues through the Order Manager |
Order Manager is responsible for collecting all the orders coming from the strategies of the system and keeps track of the life cycle of the orders |
Gateway Out Sends orders to the venues |
Viewers are critical in algo trading because they provide a status of all system components, orders, trades, and the metrics you consider important to monitor your trading strategies |
Command Line and Tools are in charge of starting the components of the system |
|
