C++ Electronic Trading for Cpp Programmers - Mathias Gaunard - ACCU 2023

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C++ Electronic Trading for Cpp Programmers - Mathias Gaunard - ACCU 2023
Slides: https://accu.org/conf-previous/accu2023/

Electronic trading, in particular for high-frequency and low-latency strategies, is an area that is very much in demand of C++ developers, but sometimes seen as alien by traditional technologists. In this talk, we'll attempt to demystify this industry, present the problems people try to solve in it, and explain which parts of C++ has made it such a prevalent tool there.

The talk will be primarily focused on electronic trading on centralized exchanges with continuous matching of limit orders, be it for delta-one or derived assets, on co-located or cloud exchanges. We'll first cover the basics with reference and market data, execution, and order book kinematics, then discuss how one would build a program with low-latency trading capabilities as a result, with optimized thread models, networking and memory management. Finally we'll delve into a few more quantitative topics to understand how it all fits together: matching engine simulation, alpha modeling, slippage and risk management.
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Mathias Gaunard

Mathias Gaunard is a lead quantitative developer at Portofino Technologies, a systematic market-maker of cryptocurrencies and digital assets, with 15 years of experience as a C++ developer with varied experience in telecommunications, scientific computing and high-frequency trading.
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