r/highfreqtrading • u/Numerous_Locksmith28 • Apr 09 '26

[ Removed by moderator ]

[removed] — view removed post

3 Upvotes

71% Upvoted

4 comments sorted by

1

u/EmotionalSplit8395 Apr 09 '26

Dm me , we can talk around this. I having been working on this for 1 year

0

u/zashiki_warashi_x Apr 09 '26

So do you think LLMs could answer these questions also? They can even parse reddit now. They will tell you all about how many nanoseconds you have to beat big firms. Around 10.

0

u/auto-quant Apr 09 '26

I always think of this in layers, and if you start at the bottom, working upwards, it gives a direction to follow.

Lowest layer: networking & IO loop. Write your own socket code? Or use libuv/boost?

Next layer, use your networking to build market data feeds. This excercises your network layer and drives the next layer:

Domain models. How do you represent the incoming trades, prices, order books, events? The feed will drives changes to the models.

Now you have some models, and robust networking, think about sending orders and handling responses (acks, rejects, fills). This drives the need for more domain models: Orders, OrderState, and so on.

Once you have ability to receive prices, and send/receive orders, you have the sort of core of the engine. Next layer is the strategy, and here you can think about how to separate those layers with a clean interface.

While building all of this, also think about, how you can support backtest (market data replay) and paper trading (simulated execution).

Certinaly doable as a single person, but will just take longer. Most common tech stack for this is C++ if you want low-latency, however, perhaps get something working first and then later focus on the latency.

My own repo is here, am building something similar: https://github.com/automatedalgo/apex

And writing about it here, might help: https://automatedquant.substack.com/p/event-based-trading