I am extremely new to the field of high-frequency trading. I have been trying to read a ton of materials out there to understand the general workflow. I have very basic knowledge of different concepts like FIX, Direct Market Access, Order Management System, DataFeed engines etc.
However, I have not been able to build a monolithic understanding of the system i.e. what is the first step to setting up a HFT system and the subsequent steps?
I hope that there are others who had to learn about the systems and architecture of HFT from scratch and are willing to share how they went about it.
Greatly appreciate all the help and advice.
[Update on what I found helpful]: Thank you @lehalle. I would like to pass on what I have learnt for anyone else who might be interested to explore high-frequency trading. I think the book: Algorithmic Trading and DMA: An introduction to direct access trading strategies, by Johnson, introduced key concepts such as FIX messages and Direct Market Access (DMA). From there, I started reading deeper into FIX protocols. In very simple terms, the infrastructure for high-frequency trading firms is Exchange -> Market Data Feed handler -> Algorithm -> Order Management System (OMS) -> Exchange. So it really helps to just google Market Data Feed handlers and read the documentation from different vendors. From there, you will understand that to achieve low latency, we would need good very fast networking infrastructure. It is helpful to read up on the OSI model and the underlying protocols and read up on basic networking infrastructure like network cards, etc. From there you would get a clearer picture of the setup. And just repeat the steps: google search different vendors, get them on the phone, learn what they offer and don't be shy to ask questions. Finally, learn up C ad C++, and invest on some intraday data and practice your C and C++.