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

Product typeBook
Published inJul 2023
PublisherPackt
ISBN-139781837639359
Edition1st Edition
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Author (1)
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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Running the entire ecosystem with the new instrumentation system

Running the updated electronic trading ecosystem remains the same as before and is launched by running the following script:

sghosh@sghosh-ThinkPad-X1-Carbon-3rd:~/Building-Low-Latency-Applications-with-CPP/Chapter11$ bash scripts/run_exchange_and_clients.sh

Once the new ecosystem is done running, you can notice performance measurement log entries such as the following for the RDTSC measurements:

sghosh@sghosh-ThinkPad-X1-Carbon-3rd:~/Building-Low-Latency-Applications-with-CPP/Chapter11$ grep Exchange_MEOrderBook_match *.log
exchange_matching_engine.log:02:42:59.980424597 RDTSC Exchange_MEOrderBook_match 205247
exchange_matching_engine.log:02:43:00.022326352 RDTSC Exchange_MEOrderBook_match 216239

There are also entries such as the following for the RDTSC measurements:

sghosh@sghosh-ThinkPad-X1-Carbon-3rd:~/Building-Low-Latency-Applications-with-CPP/Chapter11$ grep Trading_MarketOrderBook_addOrder *.log...
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Building Low Latency Applications with C++
Published in: Jul 2023Publisher: PacktISBN-13: 9781837639359

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