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

Connecting to the exchange and sending and receiving order flow

The order gateway client component in the market participant’s trading infrastructure receives order requests from the trading engine through a lock-free queue and sends order responses back to the trading engine through another lock-free queue. It also establishes a TCP connection to the order gateway server in the exchange side infrastructure. It encodes order requests in the exchange’s order format and sends them over the TCP connection. It also consumes order responses sent by the exchange over that TCP connection and decodes them from the order data format. We present the order gateway client diagram again to refresh your memory on that component’s design.

Figure 8.4 – Diagram presenting the order gateway client component inside the client’s trading infrastructure

Figure 8.4 – Diagram presenting the order gateway client component inside the client’s trading infrastructure

We will start the implementation of this order gateway client component by defining the...