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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Summary

In this chapter, our primary focus was on adding intelligence and sophistication to the market participants’ trading systems. First, we discussed our market-making and liquidity-taking trading strategies. We discussed the motivation behind these strategies, how they seek to profit in the markets, and the trading dynamics of these algorithms.

We implemented the important components that make up the intelligence around our trading strategies. The first one was the feature engine that’s used to compute trading features/signals from the market data so that they can be used by the trading strategies to make informed trading decisions. The next one was the position keeper, which is in charge of tracking a trading strategy’s positions and PnLs as the strategy’s orders are executed in the market. After, we looked at the order manager component, which sends and manages live orders in the market to simplify the trading strategy’s implementation....