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Hi Michael!
>To access a given API from Python, you can write simple Python wrappers
around C++ or Java classes and functions that can then be called or
instantiated from within Python.
The part I have not been able to figure out is how to call Java from
within Python. I think this would require embedding the Java VM among
other things. It does not seem this approach would be very effective in
interfacing with MyTrack or IB for example (Java SDKs).
Another approach could be to make sub-servers/adapters for each data
provider. These could be written in any language and send quotes to the
market data server written in Python. The MDS could then store the quotes
and notify subscribers over the network.
An more straightforward approach would be to write the market server
(data + execution) in Java and the rest of the system in Python. But then
why not just write the whole thing in Java and use Jython to enable
Python as the trading systems development language? Following this
approach all the libraries, etc. would be written in Java but this would
be transparent to you as you would code your systems in Python.
I'm not sure what the best approach is and would appreciate as many
opinions as possible.
Thanks, Joel
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