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

Understanding the behavior of our trading algorithms

In this section, we will discuss some additional details about the behavior and motivation behind the two trading strategies we will build in this chapter – the market making trading strategy and the liquidity taking trading strategy. With the use of a hypothetical example for each strategy, we will also try to understand the strategy order flow mechanics and try to further our understanding when we implement these trading strategies in our C++ system, towards the end of this chapter.

Understanding the market making trading algorithm

The market making trading strategies seek to make profits by seeking to capture the spread, which just means buying at the best bid price in the market passively and quickly selling at the best ask price in the market passively (or selling first and buying after). The market making strategies, profitability depends on the spread of the trading instrument, how many buy and sell trades the...