This site is easily the most advanced source examples I have seen for HFT with Python, C++, Java, and R with this RCpp package
http://dirk.eddelbuettel.com/code/rcpp.html
I need to say as a community of people thanking Dirk for maitaining this amazing set of code. It is quite amazing as this site also includes R integration into. I am still stunned at the HUGE of amount of examples here.
This does not include the Quantian Linux distribution or Linux packages Dirk uses. Pretty heavy stuff!
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