High-Frequency Trading Advanced

How exchanges match buy and sell orders using price-time priority, pro-rata allocation, and lock-free data structures.

How exchanges broadcast real-time market data, the FIX and ITCH protocols, and how feed handlers parse data at line rate.

How trading firms colocate servers at exchanges, use FPGAs and kernel bypass to shave microseconds off latency.

How exchanges detect manipulative trading patterns like spoofing and layering, and how traders adapt to surveillance systems.

Given a sequence of market orders and an order book state, determine which orders fill at which prices.

The difference between taking and making liquidity, why latency matters in microseconds, and the concept of marketable vs non-marketable orders.