roq-algo

API for algorithmic and high-frequency trading (HFT).

This project contains

• Interfaces for implementing algorithmic trading strategies
• Interfaces for implementing exchange matching simulation
• Interfaces for simulation reporting
• Reference implementations

Design

Prerequisites

Use stable for (the approx. monthly) release build. Use unstable for the more regularly updated development builds.

Initialize sub-modules

git submodule update --init --recursive

Create development environment

scripts/create_conda_env unstable debug

Activate environment

source opt/conda/bin/activate dev

Build the project

Sometimes you may have to delete CMakeCache.txt if CMake has already cached an incorrect configuration.

cmake . && make -j4

License

The project is released under the terms of the BSD-3 license.