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Building Low Latency Applications with C++

Building Low Latency Applications with C++

By : Sourav Ghosh
4.2 (15)
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Building Low Latency Applications with C++

Building Low Latency Applications with C++

4.2 (15)
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)
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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 trade engine framework

In this section, we will build the trade engine framework in the TradeEngine class. This framework ties all the different components we built together – the OrderGateway, MarketDataConsumer, MarketOrderBook, FeatureEngine, PositionKeeper, OrderManager, RiskManager, MarketMaker, and LiquidityTaker components. As a reminder of the trading engine component, we present a diagram of all the sub-components here. We have built all the sub-components; now, we will just build the trading engine framework in which these sub-components exist.

Figure 10.8 – The components of the trading engine in the client’s trading system

Figure 10.8 – The components of the trading engine in the client’s trading system

We will start this section by defining the data members of our class, as usual. All the source code for the basic TradeEngine framework is in the Chapter10/trading/strategy/trade_engine.h and Chapter10/trading/strategy/trade_engine.cpp source files.

Defining the data members in the trade...

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