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

Product type Book

Published in Jul 2023

Publisher Packt

ISBN-13 9781837639359

Pages 506 pages

Edition 1st Edition

Languages

Concepts

Programming Language

Author (1):

Sourav Ghosh

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++

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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18. Other Books You May Enjoy

Measuring latencies in the trading engine

In this section, we will focus on adding performance measurement and timestamps to the trading client’s system – the market data consumer, the order gateway, and the trade engine and its subcomponents. Here too, we will measure the performance of internal components as well as add timestamps to help with a higher-level analysis of incoming and outgoing events latencies.

Understanding how to measure internally

The motivation and approach toward measuring the performance of internal components for the trading clients’ systems are identical to those on the exchange side. The complete list of internal measurements we will take is listed next, but interested readers should use similar techniques to add even more points of measurement as they see fit. We will see the code for how to measure these familiar methods shortly, but for now, the methods we will measure on the client’s side are the following: