Journal of Computer Engineering & Information TechnologyISSN : 2324-9307

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Research Article, J Comput Eng Inf Technol Vol: 2 Issue: 1

An Object-Oriented Library for Real-Time Processing of NASDAQ Order Book Data

Laurens E Howle1,2*, Clark McGehee1 and Brian P Mann1
1Mechanical Engineering and Materials Science Department, Duke University, Durham, NC 27708-0300, USA
2BelleQuant Engineering, PLLC, Mebane, NC 27302, USA
Corresponding author : Laurens E Howle
Mechanical Engineering and Materials Science Department, Duke University, Durham, NC 27708-0300, USA
Tel: 1-919-660-5331; Fax: 1-919-660-8963
E-mail: [email protected]
Received: September 18, 2012 Accepted: November 03, 2012 Published: November 08, 2012
Citation: Howle LE, McGehee C, Mann BP (2012) An Object-Oriented Library for Real-Time Processing of NASDAQ Order Book Data. J Comput Eng Inf Technol 1:2. doi:10.4172/2324-9307.1000101

Abstract

An Object-Oriented Libraryfor Real-Time Processing of NASDAQ Order Book Data

Data mining for extremely data-intensive applications (big data)presents a number of challenges to the computer programmerbeyond the typical issues of numerical accuracy, algorithm speed, and stability. The specific data-intensive application we consider in this paper is an object-oriented library intended to efficiently construct and maintain the order books for the daily flow of stock market information on the NASDAQ stock exchange. We develop and optimize this library using the Microsoft .NET 4.0 productivity framework.

Keywords: Economics; Econophysics; Financial market; Algorithmic trading; Order book; Market microstructure

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