Explore the process of simulating a low latency exchange in C++ through this 25-minute conference talk from C++ on Sea 2023. Gain insights into developing and evaluating low latency trading strategies, including backtesting and parameter tuning. Learn about key components such as central order books, trading systems, feed data, order gateways, delay models, and matching engines. Discover how to implement a simulation loop using event queues and priority queues. Benefit from the expertise of Benjamin Catterall, a seasoned professional in high-frequency trading, as he shares his knowledge on creating efficient exchange simulations for strategy optimization and profitability assessment.
How to Simulate a Low Latency Exchange in C++ - Developing Trading Strategies
Overview
Syllabus
Introduction
Who am I
What is an Exchange
Central Order Book
What is a Trading System
Landscape
Goals
Simulating
Requirements
Strategy
Questions to Consider
What You Need
Feed Data
Order Gateway
Responses
Delay Models
Simulation Loop
Event Queue
Priority Queue
Matching Engine
Outro
Taught by
cpponsea
