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 gateway server

In this section, we will start building the order gateway server infrastructure, which is responsible for setting up a TCP server for clients to connect to. The order gateway server also needs to process incoming client requests from different clients in the order in which they arrive and forward those to the matching engine. Finally, it also needs to receive the order responses from the matching engine and forward them to the correct TCP connection for the corresponding market participant. We will revisit the design of the order gateway server and how it interacts with the matching engine and the market participants, as follows.

Figure 7.1 – Order gateway server and its subcomponents

Figure 7.1 – Order gateway server and its subcomponents

To refresh your memory, the order gateway server receives new TCP connections or client requests on established TCP connections. Then, those requests go through a FIFO sequencer stage to make sure that requests are processed in the...