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

Understanding the layout of the electronic trading ecosystem

First, we start by providing the higher-level layout of the electronic trading ecosystem we will be building in the rest of this book. Before we get into the details, we start with the disclaimer that this is a simplified design of what happens in practice in electronic trading markets. Simplification was necessary to limit the scope to what can be covered in this book; however, it is still an accurate but simplified representation of what you will find in practice. The other thing to note is that the goal here is to understand the design and implementation of low-latency applications, so we ask you to focus more on the application of C++ and computer science principles that we apply and less on the details of the trading ecosystem itself.

Now, let us kick off this introduction by defining and explaining the overall topology of the electronic trading ecosystem and the components involved.

Defining the topology of the...