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Building Low Latency Applications with C++

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

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Product type Paperback
Published in Jul 2023
Publisher Packt
ISBN-13 9781837639359
Length 506 pages
Edition 1st Edition
Languages
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Author (1):
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Sourav Ghosh Sourav Ghosh
Author Profile Icon Sourav Ghosh
Sourav Ghosh
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Table of Contents (19) Chapters Close

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 18. Other Books You May Enjoy

Designing C++ memory pools to avoid dynamic memory allocations

We have had several discussions on dynamic memory allocation, the steps the OS needs to perform, and why dynamic memory allocation is slow. Dynamic memory allocation is so slow in fact that low latency applications actively try to avoid it as much as possible on the critical path. We cannot build useful applications without creating and deleting many objects at runtime, and dynamic memory allocation is too slow for low latency applications.

Understanding the definition of a memory pool

First, let us formally define what a memory pool is and why we need one. Many applications (including low latency applications) need to be able to handle many objects and an unknown number of objects. By an unknown number of objects, we mean that the expected count of objects cannot be determined ahead of time, and it cannot be ascertained what the maximum number of objects will be. Obviously, the maximum number of objects possible...

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