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

View More author details

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

Why subscribe?

18. Other Books You May Enjoy

Analyzing the performance of our trading ecosystem

Before we analyze the performance of our electronic trading ecosystem, let us quickly recap the measurements we added in the previous chapter.

Revisiting the latencies we measure

We added two forms of measurement. The first one measures the performance of internal components and the second one generates timestamps at key points in our entire system.

The first form, which measures the latencies of internal components, generates differences in RDTSC values before and after calls to different functions, and generates log entries such as the following:

exchange_order_server.log:18:48:29.452140238 RDTSC Exchange_FIFOSequencer_addClientRequest 26
trading_engine_1.log:18:48:29.480664387 RDTSC Trading_FeatureEngine_onOrderBookUpdate 39272
trading_engine_1.log:18:48:29.480584410 RDTSC Trading_MarketOrderBook_addOrder 176
trading_engine_1.log:18:48:29.480712854 RDTSC Trading_OrderManager_moveOrder 32
trading_engine_1.log:18:48:29...