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 the C++ matching engine in a trading exchange

In this section, we will discuss the matching engine component inside the electronic trading exchange system introduced in the previous section. The first thing we will do is understand what purpose the matching engine serves and why it is needed.

Understanding the purpose of the matching engine

In the electronic trading ecosystem consisting of a single trading exchange, generally, there is a single exchange that is responsible for accepting and managing orders from numerous market participants. The matching engine in this case accepts different kinds of orders that the participants are allowed to send for any given trading instrument. An order is simply a request sent by any market participant to the trading exchange to convey their interest in buying or selling a tradeable product. Every time a new order is received by the matching engine from the order gateway server infrastructure, it checks to see whether this new order...