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 chapter was dedicated to building the order gateway server and the market data publisher components. We also combined the matching engine component we built in the previous chapter with the order gateway server and market data publisher components we built in this chapter to build the final trading exchange main application.

First, we defined the public market data protocol that will be used by the exchange to publish data on the wire and used by the clients to write market data consumer applications. We performed a similar task with the order gateway protocol so that client applications can understand the format of the client requests that they send to the exchange’s order gateway server and receive responses from.

We built the order gateway server, whose design we established in the Designing Our Trading Ecosystem chapter. We built the OrderServer class, which builds and runs TCPServer, to accept and manage TCP client connections. We added functionality...