I wrote a program in C++ to download massive amounts of stock data from a data provider. The binary itself is 2 MB, memory use rises to over 16 GB and it frees everything at the end, so there are no memory leaks (I'm particularly proud of that). Over the years I've found better and better ways of making it run faster because a daily run will take over 6 hours of downloading and writing to my database.
I also wrote a multi-threaded backtester in C++ because the program I was using was only single-threaded. I stopped using that several years ago but the act of writing it was a lot of fun.
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