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

Summary

This chapter was dedicated to building the important core infrastructure components inside the market participant’s trading system. First, we build the market data consumer component, which is responsible for subscribing to the multicast market data stream generated by the exchange. It needs to detect gaps in market data updates on the incremental market data stream and initiate snapshot recovery and synchronization mechanisms to re-synchronize with the incremental market data stream. It decodes the market data updates from the format that the exchange publishes to a simpler internal market data format.

The order book sub-component inside the trading engine component processes the market data updates it receives from the market data consumer. It builds and updates an order book data structure from these updates for the trading engine to get an accurate view of the market.

The order gateway component inside the trading system establishes and maintains a bi-directional...