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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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Designing a framework for low-latency C++ trading algorithms

Now that we have discussed the market data consumer and order gateway client components on the market participants’ trading systems, the last component we need to discuss is the framework that makes trading decisions. This component is one of the most important components in a trading system since this is where intelligence lies. By intelligence, we mean the system that processes normalized market data updates, builds a view into the market conditions, and computes trading analytics to find trading opportunities and execute trades. Obviously, this component relies on the market data consumer to receive decoded and normalized market data updates and uses the order gateway client component to send order requests to and receive order responses from the exchange in a decoded and normalized format.

Building the order book

The market participant needs to construct the limit order book based on the market data that...

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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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