Previously I have revealed that I was in the process of developing my own trading engine, but what a thread that became. A lot of smart-asses polluted my good intentions of sharing experience and knowledge Unfortunately this is becoming more and more normal here at ET to chase the man, instead of the subject. And yes.. no one of the existing retail applications can handle such volumes. They are not built with such in mind.
I am sorry but can someone please define what is a "trading engine"? do you refer to the trading algo?