Designing financial protocols for HFT exchanges
Let's come back to the following diagram, introduced in Chapter 2, The Critical Components of a Trading System. It is important to understand how communication works between a trading system and an exchange:
Figure 5.12 – Communication between exchange and trading system
Two entities must speak the same language to communicate with one another. To accomplish that, they use a protocol used in networking. This protocol is utilized in trading for any exchanges (sometimes called venues). Depending on the venue, there may be a variety of protocols. The connection is possible if the protocol between a given venue and your trading system is the same. Depending on the number of venues, one venue will frequently use a given protocol, and another venue will use a different one. The trading system will need to be built on understanding the other protocols. Even though their protocols differ among venues, the...
