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

Thinking about the future of our trading ecosystem

Before we conclude this chapter and this book, we will discuss a few possible enhancements to our electronic trading ecosystem. In the previous section, we discussed some examples of things that can be optimized for those interested in maximizing the performance of the electronic trading system we built in this book. In this section, we will discuss some examples of how this ecosystem can be enhanced, not necessarily to reduce latency but to make the system more feature-rich and add functionality.

Growing containers dynamically

We built and used a few containers in this book, as listed here:

  • The lock-free queue – LFQueue – which is used in multiple components for various object types, such as MEMarketUpdate, MDPMarketUpdate, MEClientRequest, and MEClientResponse
  • The memory pool – MemPool – which was used for multiple object types, such as instances of MEMarketUpdate, MEOrder, MEOrdersAtPrice...