Book Image

Building Low Latency Applications with C++

By : Sourav Ghosh
5 (1)
Book Image

Building Low Latency Applications with C++

5 (1)
By: Sourav Ghosh

Overview of this book

C++ is meticulously designed with efficiency, performance, and flexibility as its core objectives. However, real-time low latency applications demand a distinct set of requirements, particularly in terms of performance latencies. With this book, you’ll gain insights into the performance requirements for low latency applications and the C++ features critical to achieving the required performance latencies. You’ll also solidify your understanding of the C++ principles and techniques as you build a low latency system in C++ from scratch. You’ll understand the similarities between such applications, recognize the impact of performance latencies on business, and grasp the reasons behind the extensive efforts invested in minimizing latencies. Using a step-by-step approach, you’ll embark on a low latency app development journey by building an entire electronic trading system, encompassing a matching engine, market data handlers, order gateways, and trading algorithms, all in C++. Additionally, you’ll get to grips with measuring and optimizing the performance of your trading system. By the end of this book, you’ll have a comprehensive understanding of how to design and build low latency applications in C++ from the ground up, while effectively minimizing performance latencies.
Table of Contents (19 chapters)
1
Part 1:Introducing C++ Concepts and Exploring Important Low-Latency Applications
6
Part 2:Building a Live Trading Exchange in C++
10
Part 3:Building Real-Time C++ Algorithmic Trading Systems
14
Part 4:Analyzing and Improving Performance

Part 3:Building Real-Time C++ Algorithmic Trading Systems

In this part, we will start building the trading client-side C++ algorithmic trading system. We will be building components that interface with the trading exchange to process market data and connect to and communicate with the exchange order gateway. We will also build the C++ framework on which we will build market-making and liquidity-taking trading algorithms. In the HFT space, this is where participants spend a lot of time and effort trying to reduce latencies and maximize performance (and profits). Finally, we will implement the market-making and liquidity-taking trading algorithms in this framework, run the entire trading ecosystem, and understand the interactions between all the components.

This part contains the following chapters:

  • Chapter 8, Processing Market Data and Sending Orders to the Exchange in C++
  • Chapter 9, Building the C++ Trading Algorithm Building Blocks
  • Chapter 10, Building the C++ Market...