Have you ever wished you could trade billions of dollars in stocks and bonds from an Excel spreadsheet? Do you get impatient when your code takes longer than one microsecond to run? If so, then the exciting world of High Frequency Trading may be for you! In this episode, special guest Bob Farzin, who worked in the field for a decade, takes us on a metaphorical flume ride into the intense and bizarre world of HFT.
Also, if you're listening to this episode and wondering what the data stream from an exchange looks like, here's the message specification for "Market Data" delivered via UDP from the Chicago Mercantile Exchange.