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Building Low Latency Applications with C++
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In this section, we will build a minimal version of a feature engine. We will only compute two simple features – one (market price) that computes fair market prices based on the top of book prices and quantity and another (aggressive trade qty ratio) that computes how big a trade is compared to the top of book quantities. We will use these feature values to drive our market-making and liquidity-taking trading algorithms later in this chapter. The source code for the FeatureEngine
class we will build here can be found in the Chapter9/trading/strategy/feature_engine.h
file on GitHub. We discussed the details of this component in Chapter, Designing Our Trading Ecosystem, in the Designing a framework for low-latency C++ trading algorithms section.
First, we need to declare the FeatureEngine
class and define the data members inside this class. First, we will include the required...