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You're reading from  Building Low Latency Applications with C++

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Published inJul 2023
PublisherPackt
ISBN-139781837639359
Edition1st Edition
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Sourav Ghosh
Sourav Ghosh
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Sourav Ghosh

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.
Read more about Sourav Ghosh

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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...
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Building Low Latency Applications with C++
Published in: Jul 2023Publisher: PacktISBN-13: 9781837639359
© 2023 Packt Publishing Limited All Rights Reserved

Author (1)

author image
Sourav Ghosh

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.
Read more about Sourav Ghosh

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