This site is easily the most advanced source examples I have seen for HFT with Python, C++, Java, and R with this RCpp package
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!FACEBOOK ACCOUNT and TWITTER. Don't worry as I don't post stupid cat videos or what I eat!