Building Low Latency Applications with C++: Develop a complete low latency trading ecosystem from scratch using modern C++

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

Purchase of the print or Kindle book includes a free PDF eBook
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

Introducing Low Latency Application Development in C++
Designing Some Common Low Latency Applications in C++
Exploring C++ Concepts from A Low-Latency Application's Perspective
Building the C++ Building Blocks for Low Latency Applications
Designing Our Trading Ecosystem
Building the C++ Matching Engine
Communicating with Market Participants
Processing Market Data and Sending Orders to the Exchange in C++
Building the C++ Trading Algorithm's Building Blocks
Building the C++ Market Making and Liquidity Taking Algorithms
Adding Instrumentation and Measuring Performance
Analyzing and Optimizing the Performance of Our C++ System