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

In this chapter, we jumped into the world of low latency application C++ development. We built some relatively fundamental but extremely useful building blocks that can be used for a variety of low latency application purposes. We put into practice a lot of the theoretical discussions related to using C++ and computer architecture features effectively to build low latency and highly performant applications.

The first component was used to create new threads of execution and run the functions that different components might require. One important functionality here is being able to control the CPU core that the newly created thread gets pinned to by setting the thread affinity.

The second component we built was meant to avoid dynamic memory allocation on the critical code path. We reiterated the inefficiencies associated with dynamic memory allocation and designed a memory pool to be used to pre-allocate memory from the heap when constructed. Then, we added utility to...