High frequency trading an analysis regarding volatility and liquidity starting from a base case of algorithms and a dedicated software architecture

High-frequency algorithmic trading has had significant success in recent years due to technological advances and innovations around trading activities. The technique involves the use of algorithms to acquire, process and react to market information at high speed. This paper introduces a reference architecture for performing such trading and dissects a example transaction. We show the life-cycle of the connections between the client and the trading platform; the structure and dynamics of the data processed by the algorithm, and the response of the trading platform. The paper helps understand the components involved in this process and acts as a basic use-case that allows the reader to develop further more sophisticated financial applications.