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

Transferring data using lock-free queues

In the C++ threading for multi-threaded low latency applications section, we hinted that one possible application of having multiple threads is to set up a pipelined system. Here, one component thread performs part of the processing and forwards the results to the next stage of the pipeline for further processing. We will be using such a design in our electronic trading system, but there’ll be more on that later.

Communicating between threads and processes

There are a lot of options when it comes to transferring data between processes and/or threads. Inter-Process Communication (IPC), such as mutexes, semaphores, signals, memory-mapped files, and shared memory, can be used for these purposes. It also gets tricky when there is concurrent access to shared data and the important requirement is to avoid data corruption. Another important requirement is to make sure that the reader and writer have consistent views of the shared data...