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

Part 2:Building a Live Trading Exchange in C++

In this part, we will describe and design the trading applications that make up our ecosystem, which we will be building from scratch in this book – electronic trading exchanges, exchange market data dissemination, order gateways, client market data decoders, and client trading algorithm frameworks. We will implement the matching engine that tracks client orders and performs matching between them. We will also build the components that publish market data for all participants and how it handles client connections and order requests. The focus will be on very low-latency reaction times and high throughput since modern electronic exchanges have thousands of participants and a huge amount of order flow flowing through it.

This part contains the following chapters:

  • Chapter 5, Designing Our Trading Ecosystem
  • Chapter 6, Building the C++ Matching Engine
  • Chapter 7, Communicating with Market Participants
...