Professional Automated Trading: Theory and Practice
Eugene A. Durenard · ★★★★☆ · 384 pages · 2013
I read this book to understand how computation functions the the finance world especially as it pertains to HFT. In a lot of ways the book covers the same practices to designing systems that are used to create modern web apps and instead of users you have tick data from that market that you have to make sense of. What the author calls swarms and agents translates to micro services and monitoring in the DevOps world. I may reread to dive deeper into the actual strategies that are used but for the most part his design is spot on. Instead of using the Lisp language that he recommends I would say a language like Go which can call out to APIs for different strategies in other languages gives you the same level of parallelism with some of the added benefit of type safety. I do think lisp is a valid choice but if you are going to do it use something like Clojure. Overall a pretty solid book on building a basic trading engine though building the actual working strategies may be the hard part.