A prototype electronic trading solution, which currently supports back-testing using a an input of tick data.
Key Notes:
- Based primarily in F# with optimisations using Parallel Processing.
- F# Options pricing algorithms.
- F# Volume Weighted Average Price execution algorithm.
- Tests present in C# using NUnit, which reference components of the F# library.
- SQL Server 2012 Project, which on publish creates a Tick, Order and Application Log objects.