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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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Toc

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

Building the order book and matching orders

This final section implements the order book functionality. Remember that the order book handles client order requests forwarded from the matching engine. It checks the order request type, updates the order book, generates order responses for the client, and generates market data updates for the public market data feed. All the code for the limit order book in the matching engine is in the me_order_book.h and me_order_book.cpp source files, saved in the Chapter6/exchange/matcher/ directory in the GitHub repository for this book.

Building the internal data structures

First, we will declare the data members for the limit order book. We presented a diagram depicting the data structures that make up the limit order book previously, in Figure 6.1. The limit order book contains the following important data members:

  • A matching_engine_ pointer variable to the MatchingEngine parent for the order book to publish order responses and market...
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