Architecture ideas for high speed pair trading
Detail notes and video references below
Pair (python) -> C++ <— market data (from java ib feed/c++ from IB/java oanda)
(positions mgr)
C++ position manager —> maintain array of pair —> add to new thread
each thread will —> check market pair every minute —> maintain look back —> calculate rolling window using ATR algo —> exit (unwind all data and threads)
TBB
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