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

Sending and managing orders

In Chapter, Designing Our Trading Ecosystem, we discussed the purpose of the trading system’s order manager component (the Designing a framework for low-latency C++ trading algorithms section). In this section, we will implement an OrderManager class to encapsulate the order management logic inside this class and thus make it easy for trading strategies to manage their orders. Before we build the OrderManager class itself, we will need to define a basic building block called the OMOrder structure.

Defining the OMOrder struct and its related types

In this first subsection, we will define some enumerations and types to be used in the OrderManager class and its sub-components. All the source code for this subsection is in the Chapter9/trading/strategy/om_order.h source file on GitHub.

First, we must provide the include files that the om_order.h file needs:

#pragma once
#include <array>
#include <sstream>
#include "common...