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 a framework for low-latency C++ trading algorithms

Now that we have discussed the market data consumer and order gateway client components on the market participants’ trading systems, the last component we need to discuss is the framework that makes trading decisions. This component is one of the most important components in a trading system since this is where intelligence lies. By intelligence, we mean the system that processes normalized market data updates, builds a view into the market conditions, and computes trading analytics to find trading opportunities and execute trades. Obviously, this component relies on the market data consumer to receive decoded and normalized market data updates and uses the order gateway client component to send order requests to and receive order responses from the exchange in a decoded and normalized format.

Building the order book

The market participant needs to construct the limit order book based on the market data that...