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!
Learn what I plan to do with this for Premium Members. Join my free newsletter to find out!
NOTE I now post my TRADING ALERTS into my personal FACEBOOK ACCOUNT and TWITTER. Don't worry as I don't post stupid cat videos or what I eat!