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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Subscribing to market data and decoding the market data protocol

The first component we need to build inside the market participants’ trading system is the market data consumer. This component is responsible for subscribing to the multicast stream of public market data updates published by the trading exchange. It needs to decode the market data stream generated by the exchange from the public MDPMarketUpdate format we discussed earlier. Because of the choice of the Simple Binary Encoding (SBE) protocol, the decoding step is straightforward in our application and does not involve any complicated stream decoding logic. Another important responsibility of this component is detecting packet drops on the incremental market data stream and providing mechanisms to recover and synchronize with the market data stream again. This mechanism is also required for trading systems that subscribe to the market data stream after there is a non-empty order book, i.e. after the trading exchange...