As explained in my last post I have now Open Sourced SubMicroTrading.com on GitHub
SubMicroTrading on GitHub
There is almost a quarter of a million lines of code.
Code highlights for me are
1) The socket session class hierarchy and cleanly extending it across all the different exchange sessions
2) Exchange Agnostic Algo Container to make writing strategies easier
3) Highly concurrent book maintenance in MarketDataController and Book snapping with optimisation to snap at most once per thread without a map lookup
Please check it out !!
SubMicroTrading on GitHub
There is almost a quarter of a million lines of code.
Code highlights for me are
1) The socket session class hierarchy and cleanly extending it across all the different exchange sessions
2) Exchange Agnostic Algo Container to make writing strategies easier
3) Highly concurrent book maintenance in MarketDataController and Book snapping with optimisation to snap at most once per thread without a map lookup
Please check it out !!
