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

Managing the passive liquidity provided in the order book

At this point, we have all the sub-components we need to start building our trading strategies. The first strategy we will build will be the MM algorithm, which sends orders that are expected to rest passively in the order book. We discussed the details of this trading algorithm earlier in this chapter, so in this section, we will focus on the C++ implementation. All the source code for this MarketMaker trading algorithm can be found in the Chapter10/trading/strategy/market_maker.h and Chapter10/trading/strategy/market_maker.cpp source files.

Defining the data members in the MarketMaker algorithm

First, we need to define the data members that make up the MarketMaker class. The key members are the following:

  • A pointer to a constant FeatureEngine object called feature_engine_, which we will use to fetch the fair market price, using the FeatureEngine::getMktPrice() method we saw earlier
  • A pointer to an OrderManager...