Building Low Latency Applications with C++

Explore techniques to design and implement low latency applications and study the impact of latency reduction

Key Features

• Understand the impact application performance latencies have on different business use cases
• Develop a deep understanding of C++ features for low latency applications through real-world examples and performance data
• Learn how to build all the components of a C++ electronic trading system from scratch

Book Description

C++ is meticulously designed with efficiency, performance, and flexibility as its core objectives. However, real-time low latency applications demand a distinct set of requirements, particularly in terms of performance latencies.

With this book, you’ll gain insights into the performance requirements for low latency applications and the C++ features critical to achieving the required performance latencies. You’ll also solidify your understanding of the C++ principles and techniques as you build a low latency system in C++ from scratch.

You’ll understand the similarities between such applications, recognize the impact of performance latencies on business, and grasp the reasons behind the extensive efforts invested in minimizing latencies. Using a step-by-step approach, you’ll embark on a low latency app development journey by building an entire electronic trading system, encompassing a matching engine, market data handlers, order gateways, and trading algorithms, all in C++. Additionally, you’ll get to grips with measuring and optimizing the performance of your trading system.

By the end of this book, you’ll have a comprehensive understanding of how to design and build low latency applications in C++ from the ground up, while effectively minimizing performance latencies.

What you will learn

• Gain insights into the nature of low latency applications across various industries
• Understand how to design and implement low latency applications
• Explore C++ design paradigms and features for low latency development
• Discover which C++ features are best avoided in low latency development
• Implement best practices and C++ features for low latency
• Measure performance and improve latencies in the trading system

Who this book is for

This book is for C++ developers who want to gain expertise in low latency applications and effective design and development strategies. C++ software engineers looking to apply their knowledge to low latency trading systems such as HFT will find this book useful to understand which C++ features matter and which ones to avoid. Quantitative researchers in the trading industry eager to delve into the intricacies of low latency implementation will also benefit from this book. Familiarity with Linux and the C++ programming language is a prerequisite for this book.

Table of Contents

1. Introducing Low Latency Application Development in C++
2. Designing Some Common Low Latency Applications in C++
3. Exploring C++ Concepts from A Low-Latency Application’s Perspective
4. Building the C++ Building Blocks for Low Latency Applications
5. Designing Our Trading Ecosystem
6. Building the C++ Matching Engine
7. Communicating with Market Participants
8. Processing Market Data and Sending Orders to the Exchange in C++
9. Building the C++ Trading Algorithm’s Building Blocks
10. Building the C++ Market Making and Liquidity Taking Algorithms
11. Adding Instrumentation and Measuring Performance
12. Analyzing and Optimizing the Performance of Our C++ System

About the Author

Sourav Ghosh has worked in several proprietary, high-frequency algorithmic trading firms over the last decade. He has built and deployed extremely low latency, high-throughput automated trading systems for trading exchanges around the world, across multiple asset classes. He specializes in statistical arbitrage market-making and pairs trading strategies with the most liquid global futures contracts. He is currently the vice president at an investment bank based in São Paulo, Brazil. He holds a master’s in computer science from the University of Southern California. His areas of interest include computer architecture, FinTech, probability theory and stochastic processes, statistical learning and inference methods, and natural language processing.