According to Irene Aldridge (High Frequency Trading)
the ideal HFT system in production should include the following steps in run-time:
- Receive and archive real time data
- Create buy and sell signals
- Keep track of open positions and P&L
- Manage risk positions
- Evaluate performance
- Cost estimation
In the other way, the Signal Generation module is, with Risk Management one, the ideal candidate to have links with Matlab, R and other external mathematical tools...