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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 matching engine and exchanging external data

In this section, we will build various parts of the matching engine class. A lot of the heavy lifting of handling client requests, building and updating the limit order book, and generating order responses and market updates will be offloaded to the order book class, which we will discuss in the next section. Please reread the Designing the C++ matching engine in a trading exchange section in the previous chapter, Designing Our Trading Ecosystem, for a refresher on the components we will build in this section and the design principles behind them. We present the diagram from that chapter here for easy reference, showing the design of the matching engine.

Figure 6.2 – The design of our matching engine component

Figure 6.2 – The design of our matching engine component

The matching engine is an independent thread of execution that consumes order requests from ClientRequestLFQueue, publishes order responses to ClientResponseLFQueue, and publishes market...

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