It’s been a long and, hopefully, interesting – although difficult at times – journey. It took us ten lessons to get familiar with all the essentials of market structure and the key concepts that create the foundation of systematic and algo trading. Now, we have approached the conclusion of this entire app. It’s time to bring all the pieces together and start developing our first trading application that can be used in both research and production.
We are going to develop a universal prototype that you will be able to use and reuse by just re-writing some parts without modifying the entire structure. We will trace all the paths from receiving a tick to placing an order – while checking the consistency of all our actions. We will learn how to keep parts of the trading application synchronized and see why it’s so important to do so. And finally, we will collect some very basic statistics of a sample trading strategy and calculate its theoretical performance – the most essential logical point in the entire research and development process.
In this lesson, we will cover the following topics:
- Trading app architecture – revised and improved
- Multithreading – convenient but full of surprises
- Trading application with a live data feed
- Backtesting – speed up the research
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