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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 market data publisher

The last component in the electronic trading exchange we need to build is the market data publisher, which is how the exchange publishes public market data updates to any market participants that need it. Revisiting the design of the market data publisher, we present a diagram of how this component communicates with the matching engine and publishes to the market data participants over UDP, as follows.

Figure 7.2 – Market data publisher and its subcomponents

Figure 7.2 – Market data publisher and its subcomponents

We would like to remind you that the purpose and design of the market data publisher were discussed in detail in the Designing Our Trading Ecosystem chapter, specifically in the Understanding the layout of the electronic trading ecosystem and Understanding how an exchange publishes information to participants sections. We would strongly encourage you to revisit those sections to follow along as we build our market data publisher component.

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