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 was dedicated completely to measuring the performance of our electronic trading ecosystem. First, we built a system to measure and compare the latency incurred due to the execution of any arbitrary code block. We also built a system to generate nanosecond-level timestamps when notable events occur. We also discussed the motivation behind the design of these systems as well as various important points to keep in mind when using these performance measurement techniques.

The next section was dedicated to understanding the design and motivation of performance measurements within the various components and subcomponents on the electronic exchange’s end. We then built and updated all the source code in the exchange to add the performance measurement and timestamping code.

After we finished the discussion and implementation of performance measurement within the electronic exchange, we performed similar measurements in the trading system. Finally, we concluded...