Protocol Comparison
Three primary protocols serve algorithmic trading: FIX (Financial Information eXchange) is the industry standard for institutional trading with sub-millisecond latency. REST APIs provide easy integration for strategy prototyping and medium-frequency trading. WebSocket connections offer real-time data streaming with lower overhead than polling-based REST approaches. Protocol choice depends on strategy frequency and latency requirements.
Implementation Considerations
Python dominates algo trading development for its rich ecosystem (pandas, NumPy, scikit-learn) and rapid prototyping capabilities. C++ and Java serve high-frequency strategies where microsecond optimization matters. Regardless of language, implement robust error handling, connection recovery, and order state reconciliation to prevent costly failures during production trading.
Latency Optimization
For latency-sensitive strategies, co-locate servers in the same data center as the broker's matching engine. Use kernel bypass networking and lock-free data structures. Pre-compute order parameters to minimize processing time at execution signals. Monitor tick-to-trade latency continuously and establish baselines for performance regression detection.
