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

Summary

This concludes our discussion of the details and design of the major components in our electronic trading ecosystem. Let us summarize the concepts, components, and interactions we discussed, as well as the design of the components that build the electronic trading ecosystem we will build.

We started off by presenting the topology of the electronic trading ecosystem. This consists of the electronic trading exchange and many market participants that want to trade on that exchange. The electronic trading exchange infrastructure itself consists of three major components at a high level – the matching engine, the market data publisher, and the order gateway server infrastructure. From a market participant’s perspective, the major components are the market data subscriber and consumer, the trading strategy framework with all its subcomponents, and the order gateway client infrastructure.

Next, we performed a deep dive into the exchange matching engine details...