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

We started the C++ implementation of our electronic trading ecosystem in this chapter. The first component we built was the exchange matching engine in charge of accepting and answering order requests from the order server component in the exchange infrastructure. This component is also responsible for generating and publishing market data updates to the market data publisher component in the exchange’s infrastructure.

First, we declared some assumptions in our matching engine and limit order books. We also defined a couple of basic Plain Old Data (POD)-style structures to encapsulate information for a single order in the limit order book, a single order request sent from the order server, an order response sent back to the order server, and a single market data update. We showed how to use the lock-free queue to facilitate communication between the matching engine and order server and market data publisher for order requests, order responses, and market data updates...