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CppCon 2017: Carl Cook “When a Microsecond Is an Eternity: High Performance Trading Systems in C++”
Video
by Carl Cook, CppCon
Tags
c++high frequency tradinglow latency
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Build the foundations
Suggested foundations for market microstructure and execution. Specialist prerequisites vary by resource.
Before you read
- Order Books
Read bid, ask, depth and queue-based market state.
- Order Flow and Adverse Selection
Understand why fills and order flow can carry information.
Go further
- Market Impact
Connect trading speed and size to execution cost.
- Implementation Shortfall
Measure execution relative to the decision price.
Explore a related reading path
- Market making and execution
Learn the trading state and execution trade-off before evaluating reinforcement-learning market makers.