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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 the C++ matching engine in a trading exchange

In this section, we will discuss the matching engine component inside the electronic trading exchange system introduced in the previous section. The first thing we will do is understand what purpose the matching engine serves and why it is needed.

Understanding the purpose of the matching engine

In the electronic trading ecosystem consisting of a single trading exchange, generally, there is a single exchange that is responsible for accepting and managing orders from numerous market participants. The matching engine in this case accepts different kinds of orders that the participants are allowed to send for any given trading instrument. An order is simply a request sent by any market participant to the trading exchange to convey their interest in buying or selling a tradeable product. Every time a new order is received by the matching engine from the order gateway server infrastructure, it checks to see whether this new order...

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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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