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I worked on some software years ago where this very issue came up. Try as I might I could never get this through to our Project Architect, and some of the others; all of whom lived in a country with at least 4 timezones.
I don't think you'll find anything useful available publicly. Anything that had its guts exposed will have all the other companies closed source apps optimized to pwn the open one.
It's a zero sum game, and unless you're able to plug directly into the data centers where the exchanges are run, your latency will be fatally higher than that of the companies who're wiping you out, so it's not something that can be effectively played with on your own time. (Even ignoring that Joe Rando can't trade directly and his brokerage isn't setup for high frequency trading - in either speed or fees charged.)
Did you ever see history portrayed as an old man with a wise brow and pulseless heart, waging all things in the balance of reason?
Is not rather the genius of history like an eternal, imploring maiden, full of fire, with a burning heart and flaming soul, humanly warm and humanly beautiful?
Training a telescope on one’s own belly button will only reveal lint. You like that? You go right on staring at it. I prefer looking at galaxies.
-- Sarah Hoyt
thank you for sharing. my partners do plan to set up an office around the exchanges to do high frequency trading. now I need to do some research on this topic. before that I plan to use a FIX server to simulate high frequency trading to get some sense of it.
First, a down-vote within five minutes of their post. Then a comment that often suggests the OP is mentally-challenged in some way. And, then, within fifteen minutes, either a sermon on homework posted as solution, or a solution that may/may-not have some relevance to the OP's concerns no matter the fact they have not yet answered questions in more serious comments that are really necessary to make any educated guess as to what the question is about.
However, lest I give a too hellish flaneur's perspective: within the chthonic technical darkness of this nether-realm, certain angelic presences float, touching with light the dark corners of the mysteries of Linq and ASP, and other demi-urgic entities that must only be referred to by their initials.
I dare name a few: OriginalGriff, Richard MacCutchan, Richard Deeming, Sascha Lefevre, Mika Wendelius, but, there are more.
Yep, it's just like the real world.
«Tell me and I forget. Teach me and I remember. Involve me and I learn.» Benjamin Franklin
I'm very twisted on this matter. While I do restrain myself from posting unfriendly comments and not-really-solutions even when it really itches I can often relate when I see someone else doing that. Not in every case of course and I don't know what "the final trigger" for your message was. So the remainder here might be more of a general rant. There are that many "questions" from people who obviously are too bone-idle to read the manual or to google and barefaced enough at the same time thinking they can find a mug here, doing their work for them. I'm not expecting questions of a quality like on StackOverflow in Q&A but it's not even on the same scale. If someone is looking for help he should treat those who he's asking with some respect and that should include trying on his own first, googling and then making some effort in writing his question in a way that it can be understood easily. Failing all that there should be some measure to show him that his message is more of an insult than a question.
If the brain were so simple we could understand it, we would be so simple we couldn't. — Lyall Watson
There are poor questions and poor answers - you have pointed out one category of the latter. Unfortunately it leads to new "contributors" taking the lead from old hands especially when they see these cut and pasted homilies upvoted by the attendant acolytes.
"The whole problem with the world is that fools and fanatics are always so certain of themselves, and wiser people so full of doubts." - Bertrand Russell