You're reading from Building Low Latency Applications with C++ Develop a complete low latency trading ecosystem from scratch using modern C++

Product type Paperback

Published in Jul 2023

Publisher Packt

ISBN-13 9781837639359

Length 506 pages

Edition 1st Edition

Languages

C++

Concepts

Programming Language

Author (1):

Sourav Ghosh

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Table of Contents (19) Chapters

Preface

1. Part 1:Introducing C++ Concepts and Exploring Important Low-Latency Applications

2. Chapter 1: Introducing Low Latency Application Development in C++ FREE CHAPTER

3. Chapter 2: Designing Some Common Low Latency Applications in C++

4. Chapter 3: Exploring C++ Concepts from A Low-Latency Application’s Perspective

5. Chapter 4: Building the C++ Building Blocks for Low Latency Applications

6. Part 2:Building a Live Trading Exchange in C++

7. Chapter 5: Designing Our Trading Ecosystem

8. Chapter 6: Building the C++ Matching Engine

9. Chapter 7: Communicating with Market Participants

10. Part 3:Building Real-Time C++ Algorithmic Trading Systems

11. Chapter 8: Processing Market Data and Sending Orders to the Exchange in C++

12. Chapter 9: Building the C++ Trading Algorithm’s Building Blocks

13. Chapter 10: Building the C++ Market Making and Liquidity Taking Algorithms

14. Part 4:Analyzing and Improving Performance

15. Chapter 11: Adding Instrumentation and Measuring Performance

16. Chapter 12: Analyzing and Optimizing the Performance of Our C++ System

17. Index

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Building a market participant’s interface to the exchange

We will now discuss the purpose and design of the components in the market participants’ systems. Specifically, we will start by discussing the market data consumer in the client’s trading system, which subscribes to, consumes, and decodes the public market data published by the exchange. We will also discuss the order gateway client infrastructure in the client’s trading system, which connects to the exchange order gateway server. The order gateway client is also responsible for sending order requests to the exchange and receiving and decoding responses for the client’s orders.

Understanding the market data consumer infrastructure

The market data consumer component in a market participant’s trading system is the direct complement of the market data publisher component in the electronic trading exchange. It is responsible for subscribing to and consuming the multicast network traffic...