I'm working on building a gateway (in C#.NET) for trading with the LIFFE exchange. I'm starting from scratch, with just the API Reference Manual from LIFFE to help me. Any leads on getting a good headstart? Books to read, online references, etc. would be greatly appreciated.
i would just try to get something working first ... a simple connection depending on what your doing this is alright http://www.amazon.com/Pattern-Oriented-Software-Architecture-Concurrent-Networked/dp/0471606952 but its almost all free in pdf format here http://www.cs.wustl.edu/~schmidt/ACE-overview.html