building automated trading systems
Automated (or algorithmic) trading systems consist of many parts, both hardware and software—clients, servers, networks, databases, calculation engines, application programming interfaces, real-time data feeds, and graphical user interfaces. However, the business logic of trading systems, which consists of trade selection algorithms, order management,and position management logic, is contained within software, and this book is concerned with the encapsulation of trading system business logic in software that controls the flow of market data.