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本文档介绍了如何使用Python构建一个小型交易系统，涵盖了从理解交易系统到设计限价订单簿等关键话题。讨论了资产类别、交易策略类型、用户数量对系统设计的影响，并详细解释了网关、订单簿管理和市场模拟器等组件的功能和实现。此外，还讨论了限价订单簿的设计，包括插入、修改和取消订单的操作。最后，强调了构建高效交易系统的重要性，并提到了未来章节将关注与交易所连接的细节。
We have learned how to create a trading strategy by analyzing historical data. In this chapter, we are going to study how to convert data analysis into real-time software that will connect to a real exchange to actually apply the theory that you've previously learned.
We will describe the functional components supporting the trading strategy based on the algorithm created in the previous chapters. We will be using Python to build a small trading system. We will use the algorithms to build a trading system capable of trading.
This chapter will cover the following topics:
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