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

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Building the order gateway server

In this section, we will start building the order gateway server infrastructure, which is responsible for setting up a TCP server for clients to connect to. The order gateway server also needs to process incoming client requests from different clients in the order in which they arrive and forward those to the matching engine. Finally, it also needs to receive the order responses from the matching engine and forward them to the correct TCP connection for the corresponding market participant. We will revisit the design of the order gateway server and how it interacts with the matching engine and the market participants, as follows.

Figure 7.1 – Order gateway server and its subcomponents

To refresh your memory, the order gateway server receives new TCP connections or client requests on established TCP connections. Then, those requests go through a FIFO sequencer stage to make sure that requests are processed in the...