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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

Adding an instrumentation system to measure system performance

The first task we need to tackle is to add a few utility methods that will serve as the base of our performance measurement system. These are meant to be used to measure the latencies of internal components and subcomponents for processes running on the same server. These are also meant to be used to measure latencies between the different components, which are unlikely to be on the same server in practice, such as the trading exchange and the trading clients, which are on different servers. Note, however, that in this book, we run the trading exchange and the trading clients on the same server for simplicity. Now, let us start by adding these utilities in the next section.

Adding utilities for performance measurement using RDTSC

The first performance measurement utility we add does not directly measure the time itself but, instead, measures how many CPU clock cycles elapse between two spots in our code base. This...

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