Quote from kanonka:
I see this is a trend of software engineers going to trading
I'm there too, although I'm in the very beginning of the transition
Speaking of which, can we share some [c++] code? I'd be interested in that FIX layer you talked about. I can give in exchange zero-locking threading class... or may be something else?
Drop me a couple lines if you are interested.
Thanks!
Sorry, but I'm not sure I want to publish any part my TS code - I've spent countless hours and nights writing, debugging, and testing that stuff. Plus, it's a working strategy
BTW, almost all code in a good TS has to be asynchronous by definition.
Regarding FIX layer: I'm still working on it, but the implementation is easy - just make you TS depend on an abstract interface, then take quickfix (http://www.quickfixengine.org/) and wrap in up as you wish. It's as easy as 1 2 3. Testing is a real challenge though... Each broker/exchange have pretty much it's on FIX version