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

This chapter was dedicated completely to measuring the performance of our electronic trading ecosystem. First, we built a system to measure and compare the latency incurred due to the execution of any arbitrary code block. We also built a system to generate nanosecond-level timestamps when notable events occur. We also discussed the motivation behind the design of these systems as well as various important points to keep in mind when using these performance measurement techniques.

The next section was dedicated to understanding the design and motivation of performance measurements within the various components and subcomponents on the electronic exchange’s end. We then built and updated all the source code in the exchange to add the performance measurement and timestamping code.

After we finished the discussion and implementation of performance measurement within the electronic exchange, we performed similar measurements in the trading system. Finally, we concluded...