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

Communicating with Market Participants

In this chapter, we will build the order gateway component at the electronic trading exchange that is responsible for accepting client connections, handling requests, and publishing responses to clients about their orders when there are updates. Fairness, low latency, and low jitter (latency variance) are important requirements here to facilitate high-frequency trading participants. We will also build the component that publishes market data from the trading exchange. These market data updates are designed to allow clients to construct the order book of all client orders that the electronic trading exchange holds. These market updates need to be sent out as soon as possible when there are order updates and when matches occur, so the focus will be on super-low-latency performance. Additionally, the exchange needs to periodically provide snapshots of the order book for participants that drop packets or start after the market is already open.

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