1. Completed code available here: github.com/Tzadiko/Orderbook/blob/master/ 2. Remove the ampersand in auto& bid = bids.front(); in MatchTrades and the corresponding line below it. We will go over testing in the livestream. 3. As an exercise, try and add a FillOrKill and GoodForDay ordertypes yourself. If the order can't be fully filled, you do nothing with it for FillOrKill. For GoodForDay pick an end-day time and prune all orders after that time that are marked GoodForDay. Will go over it in the livestream.
Hi CJ, First of all thanks, I'm following along with the coding video, but I think it would've been useful to start with a quick explanation of the main classes involved and how they work together. I don't mean a whole diagram or anything, just a couple sentences about what we're building and how the different pieces fit together. I am new to orderboooks and whenever a new class was created I could follow but at half of the video I had to stop and think about what I was doing, since I noticed I didn't have it clear in my mind. Thanks.
Can you see any too traders PNL? Do you know any top traders? Do you still think TA is garbage? Do you know any developers working on trading strategies? An updated video on the trading space would be very interesting bro. Glad to have you back!
What you are offering is literally helping in real life. I would be delighted if we could collab and i could make you the face of a dating series i am designing. (Ps - it will be paid offc)
Coding Jesus ~ I'm a discretionary trader wanting to learn how to code my own stuff. Would you be able to highlight books you would recommend for learning C++ and maybe some online resources as well? I'm looking forward to watching an orderbook being built.
I would start with a book or course on just basic c++. There are tons, and plenty of Udemy courses. Then you can dive into time series, financial analysis and mathematics in c++, algo trading in c++. You’ll also learn that there is a lot of ML in the quantdev world, c++ does work with TensorFlow but it’s not the best technology for it. Start with an intro to C++ course or book with great reviews and then move onto data structures. After that you can start applying the financial stuff slowly.
I highly recommend Effective C++ book, latest edition. and reading up on topics suc as templates, concepts, traits. This was something i yoinked from a job requirement • variadic templates & parameter packs • move semantics / forwarding; concepts; • CRTP; • traits, policies, and tag-types; • tuples/variants visit/apply etc.; • the pImpl idiom; • lambdas; • custom streaming operators; • constexpr; • auto; lambdas, and macro hackery.
Hey coding jesus, just wondering if there's a reason why you add the order to the book first, then run a matching algorithm - since your order add will be log(n), and you will have to pay the cost of removing the order pretty much immediately. If we match before insertion, it should be an O(1) check and it will be much cheaper. Or is it just for ease of coding, because the logic does look easier. thanks :)
He will probably make orders into structures and the order book a class with functions and variables, like a switch statement with different order types like stop, limit, market, etc. a function to return the final order that would have a ticker, price, quantity, etc. an order book is an electronic list (best ones in real time) that show you all the buy and sell orders. Usually you connect to an exchange API or third party market data supplier to get data. Hope that helps connect c++ to an order book
Do you have any pointers for MM invetory management? Or pointers how to think about invetory management and risk management? I want to believe that there exists MM inveotry management methods that minimizes / neutralizes delta even with geometric brownian motion...
1. When you modify, you're supposed to lose queue position. Modifying an order in place maintains queue position. 2. Your suggestion would break if someone modifies price or side.
See part 2, or just click the GitHub link. I put it all in main just for part 1 so people don’t get confused as I jump around. I refactored into proper header files on GitHub.
Are you going to use Devin , Claude 3, or chatGPT ? Or no AI ? I’d like to see no AI. Won’t complain if you use em. But if you don’t, more props to you.
Why no AI? Would you say the same if he was doing calculations via a calculator instead of by hand? If it can simplify boring tasks then it should be used, imo.
I know this is a weird comment, and I do want to mention that I also code on a white background myself BUT you might literally be losing followers/viewership just because of that fact.
alright. You say technical analysis is useless.. It's not.. I don't know if your company uses it. You want to make some money? I'd say it's a secret, but plenty of books have this drawing that goes rally: investors -> suckers. Wave theory, the one your probably talking about.. there is the pattern of a rally, three humps up and the fourth below the third. They call it 1-2-3-4-5-a-b-c, as in like 8 vectors joined together. OK, so, go to a rallying asset, knowing this pattern, can you tell if the rally is over?
![[1/3] Coding a multi-order type orderbook in C++ from scratch](/img/logo.svg){kind=logo}
