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

Designing Our Trading Ecosystem

The previous chapter jumped into some hands-on, low-latency development in C++, where we built some basic building blocks to be used throughout the rest of this book. Now we are ready to start designing our electronic trading ecosystem, which will be our main project for the rest of this book, where we will learn about low-latency application development principles in practice. First, we will discuss the high-level design and architecture of the different low-latency components or applications that we will be building for the end-to-end electronic trading ecosystem. We will also design the abstractions, components, and interactions between them, which we will implement in the rest of the book.

In this chapter, we will cover the following topics:

  • Understanding the layout of the electronic trading ecosystem
  • Designing the C++ matching engine in a trading exchange
  • Understanding how an exchange publishes information to participants
  • ...