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

Opening and closing positions aggressively

In this section, we will build a liquidity taking algorithm, whose behavior we covered in the first section of this chapter. This trading strategy does not send passive orders as the MM algorithm does; instead, it sends aggressive orders that trade against liquidity resting in the book. The source code for the LiquidityTaker algorithm is in the Chapter10/trading/strategy/liquidity_taker.h and Chapter10/trading/strategy/liquidity_taker.cpp source files. First, we will define the data members that make up the LiquidityTaker class in the next subsection.

Defining the data members in the LiquidityTaker algorithm

The LiquidityTaker trading strategy has the same data members as the MarketMaker algorithm we built in the previous section. Before we describe the data members themselves, we will present the header files we need to include in the liquidity_taker.h source file:

#pragma once
#include "common/macros.h"
#include &quot...