I am seeking a program that can create the spread prices between two prices over two different trading platforms, both platforms use APIs.
I want the spread prices to be displayed and recorded.
I want the program to automatically enter the trade when the spread price is equal to a price set by the user or by a function that I will specify later.
I mainly want the program designed for speed, and reliability over anything else.
Over the next few pages, I have started the backbone design for the program in C++, If you are interested in this project, you do not have to follow this plan exactly.
This is just a guideline as long as all the aspects of the program are covered.