Fast C++ implementation for order book HFT
Fast C++ implementation for order book HFT
This is a decent article on applying the order book in an efficient C++ implementation. The authors does the same with calling Matlab charts as well. I may explore this blog further
https://alexabosi.wordpress.com/2014/08/28/limit-order-book-implementation-for-low-latency-trading-in-c/
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