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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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Building the order gateway server

In this section, we will start building the order gateway server infrastructure, which is responsible for setting up a TCP server for clients to connect to. The order gateway server also needs to process incoming client requests from different clients in the order in which they arrive and forward those to the matching engine. Finally, it also needs to receive the order responses from the matching engine and forward them to the correct TCP connection for the corresponding market participant. We will revisit the design of the order gateway server and how it interacts with the matching engine and the market participants, as follows.

Figure 7.1 – Order gateway server and its subcomponents

Figure 7.1 – Order gateway server and its subcomponents

To refresh your memory, the order gateway server receives new TCP connections or client requests on established TCP connections. Then, those requests go through a FIFO sequencer stage to make sure that requests are processed in the...

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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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