Approximation of Algo trading.
Within this post I will outline how high frequency trading systems (algorithmic trading system) are designed. the post is an extraction from a developer conference held in april 2010.
You can take it as a rough design guide for users looking for a way to build their own trading system or to learn how such systems are working. there are serveral posts covering the issue and each post goes deeper into the technical details of the system.
So what actually is high frequency trading? the definition varies from the person that describes it. all will agree to the following bullets:
- piece of software running on a system to trade (buy/sell) certain asset classes
- trading activity above the execution abilities of human possible
- direct connected to a brokerage firm, a stock exchange or other trading network