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

Building the order book and matching orders

This final section implements the order book functionality. Remember that the order book handles client order requests forwarded from the matching engine. It checks the order request type, updates the order book, generates order responses for the client, and generates market data updates for the public market data feed. All the code for the limit order book in the matching engine is in the me_order_book.h and me_order_book.cpp source files, saved in the Chapter6/exchange/matcher/ directory in the GitHub repository for this book.

Building the internal data structures

First, we will declare the data members for the limit order book. We presented a diagram depicting the data structures that make up the limit order book previously, in Figure 6.1. The limit order book contains the following important data members:

  • A matching_engine_ pointer variable to the MatchingEngine parent for the order book to publish order responses and market...