I am looking for references on the architecture of automated trading systems and the trading algorithms behind them. I am more interested in system development than analysis. A couple of books I found are Building Automated Trading Systems by van Vliet and Quantitative Trading by Chan. Any other tips or references on this matter would be appreciated.
Answer
In addition to Chan's Quantitative Trading, I have also found the description of trading systems in Rishi Narang's Inside the Black Box to be informative and interesting. There are a few chapters there that give some details on system development, but they are very broad overviews.
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