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

Building and running the main trading application

In the last section of this chapter, we will finally build the main trading application using all the components we built in this chapter, as well as the previous two chapters. First, we will discuss the implementation of the trading_main binary application, which combines the MarketDataConsumer, OrderGateway, MarketOrderBook, and TradeEngine components. After that, we will run our complete electronic trading ecosystem – the electronic trading exchange (the exchange_main application) from the Communicating with Market Participants chapter and a few instances of the market participants (the trading_main application), which we will build next.

Building the main trading application

Now, let us build the executable trading_main binary that will initialize and run all the components on the market participant’s trading system. The source code for this application is in the Chapter10/trading/trading_main.cpp source file...