For the last 6 months I have been focused on the process of building the full technology stack of an automated trading system. I have come across many challenges and learnt a great deal about the two different methods of backtesting (Vectorised and Event driven). In my journey to building an event driven backtester, it came to my surprise that what you would end up with is close to the full technology stack needed to build a strategy, backtest it, and run live execution.
My biggest problem when tackling the problem was a lack of knowledge. I looked in many places for an introduction to building the technology or a blog that would guide me. I did find a few resources that I am going to share with you today. Read more