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

Summary

This chapter focused on using all the components we have built over the last two chapters and leveraging them to build our intelligent trading strategies – the MM trading strategy and the liquidity taking trading algorithm. We spent some time understanding the theory, motivation, and behavior of these two trading algorithms with some examples.

In the next two sections, we implemented the C++ MM trading algorithm, which manages passive orders, and the liquidity taking algorithm, which sends aggressive orders to the market.

Then, we built the trading engine framework that ties together the market data consumer, the order gateway, the feature engine, the position keeper, the order manager, and the risk manager together with the two trading algorithms. This framework is what we use to join all these components together and facilitate the flow of incoming and outgoing data streams and trading intelligence.

Finally, we built the main trading application, trading_main...