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

Measuring latencies in the trading engine

In this section, we will focus on adding performance measurement and timestamps to the trading client’s system – the market data consumer, the order gateway, and the trade engine and its subcomponents. Here too, we will measure the performance of internal components as well as add timestamps to help with a higher-level analysis of incoming and outgoing events latencies.

Understanding how to measure internally

The motivation and approach toward measuring the performance of internal components for the trading clients’ systems are identical to those on the exchange side. The complete list of internal measurements we will take is listed next, but interested readers should use similar techniques to add even more points of measurement as they see fit. We will see the code for how to measure these familiar methods shortly, but for now, the methods we will measure on the client’s side are the following:

  • Trading...