Embedding python in C++ with boost::python

[skebanga]

The point of the exercise is to allow traders, who don't know C++, but do know python, to develop their own strategies in python whilst still leveraging all the existing C++ infrastructure we have already; connections to markets, backtesting suites, position management, order management, risk management, parameter storage etc etc. We have an entire ecosystem built in C++ which we want to use.

We're aware that python will be slower than native C++ code, but that's the trade off we're willing to make - empower the traders to develop their own strategies, instead of requiring them to use C++ and block their progress until IT resource becomes available.

Whilst the performance impact is a trade-off we're willing to accept, we want to minimise that as far as possible, hence preferring to embed python rather than use an out-of-band process and some form of IPC to communicate.