ABSTRACT
Informatics and infrastructure refer to the computational components, especially the software and hardware aspects, of a typical automated trading setup. Broadly speaking, they can be categorized into two main pillars: strategy and exchange. This chapter provides an overview of an exchange's infrastructure by using NASDAQ and Chicago Mercantile Exchange as examples and discusses the roles of the matching engine, the matching mechanics of some commonly used order types, and some market data protocols. It describes current regulations and rules for trading on the US exchanges. Strategy informatics and infrastructure deal with processes and procedures of the trading firm. There are three main processing units: market data handling, alpha engine processing, and order management. The alpha engine implements callback functions of the market data handling unit, and is responsible for making trading decisions, based on the most recently updated market data and other strategy attributes. The chapter also discusses issues in managing the operational, modeling, and trading risks.
