QuoteOriginally posted by: edouarddid anyone here read the I Aldridge's book "HIGH-FREQUENCY TRADING A Practical Guide to Algorithmic Strategies and Trading Systems" ???has it been helpful?what about the (unfortunately very few) example codes and data accompanying the book and available at http://www.hftradingbook.com
?did you take advantage of them ? how?- thank you -For a first step into this field it is not bad. Easy to read and follow. Less math and no code.>> do you know other books accompanied by c++ code snippets ?It depends what you really want to see. Are you interested more in the strategy itself or more in the dma ( order routing) ?Furthermore for research or fast prototyping c++ is not a very good choice. I would prefer more matlab or R .