Course Name: Trading Alphas: Mining, Optimisation, and System Design, Section No: 22, Unit No: 7, Unit type: Video
Hello,
Do you guys have any resources to read on proper implementation of trading executions in C++ or Python? Thanks a lot
Hi Israel,
It largely depends on what broker/technology/asset class you are using, and there are massive differences between implementations.
First of all, if your trades are not latency-sensitive, you could use a synchronous system, which is much simpler to program than async.
Secondly, there are a large variety of APIs out there which are widely different. FIX is quite common, and so is the Interactive Broker API, but there are many more. Many platforms offer proprietary systems that look C-like, such as MT4/MT5.
Third, if you run a standard strategy based on alpha signals, you may not need sophisticated execution algorithms. However, if you run large quantities or queue positions are important, your programming needs to be a lot more sophisticated.
The reason why there are no coherent resources on execution out there is that it is impossible to account for the wide variety of requirements for different traders. In order to find out what suits you, you have to be very specific in your requirements.
Hope this helps!