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)
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)
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!