For HFT: Lowest latency with sockets over APIs? How to build a C++ Linux based open source FIX engine

(Last Updated On: November 20, 2012)

Hi there

Another opportunity, get in the on the action soon as we are closing out this FREEMIUM stuff soon! In other words, join the QuantLabs.net Premium membership while you can for the upcoming private webinars. .

I went to my Meetup last nite where I always learn lots of things. From what I see, everything is being streamed into trading platforms these days. Also, screw APIs as they becomes bottlenecks with latency so you need to learn how to program sockets.  Interactive Brokers comes to mind with their Trader Workstation  versus their FIX gateway options.
Not only that, many in the past have told me that using R with RCpp/RInside could be a bottleneck. There is a potential with that so it leads me into investigating event rule based programming using a Complext Event Processing engine like Esper. Well, there is none for C++ as Esper is for C# or Java. Too bad but there is an option to stream it in. I posted about that yesterday. There are some options I posted at:
I am investigating 2 options currently.
I also got my backups in place if R does indeed become the bottleneck, I can hint it is most popular part of QuantLabs.net. It also involves a very big expense but you gotta do what you gotta do to get things working. Aahh… the joyous challenges in working on these HFT potential platforms?
Another important element are FIX engines built on top of wonky QuickFIX. I documented my experience on one solution called FIX8
These are the most complicated parts of any HFT platform. As I am building this out, I am realizing the incredible value people are getting being on this list. 


Benefits are listed are here. 
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!

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