Visual C++ :: CPP High Frequency Trading

Jul 15, 2014

I have taken a keen interest in writing trading programs. I have some Python background, a little C# but no C++.

The example below was provided in a book on HFT and I would love to see how the results look. I was hoping that I would just compile it and away you go!

That didn't happen. To start with the author listed this as a function, so I converted it to a main program. Still having issues with my path and where to see the output. Here it is..

Code

void HFT_AvellanedaStoikov() {
FILE* fin, *fout;
double lambda_a, lambda_b, d_lambda_a, d_lambda_b;
int hh = 0, mm = 0, ss, nb = 0, na = 0, prevnb = 0, prevna = 0, prevm = 0;
double bid, ask, prevbid = 0, prevask = 0;
char * p1, *p2, buffer[1024], fname[512];

[Code] .....

Here is some data:

14 49 24.37 24.38
14 49 24.37 24.38
14 49 24.37 24.38
14 49 24.37 24.38
.... and so on ....

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