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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Building the matching engine and exchanging external data

In this section, we will build various parts of the matching engine class. A lot of the heavy lifting of handling client requests, building and updating the limit order book, and generating order responses and market updates will be offloaded to the order book class, which we will discuss in the next section. Please reread the Designing the C++ matching engine in a trading exchange section in the previous chapter, Designing Our Trading Ecosystem, for a refresher on the components we will build in this section and the design principles behind them. We present the diagram from that chapter here for easy reference, showing the design of the matching engine.

Figure 6.2 – The design of our matching engine component

The matching engine is an independent thread of execution that consumes order requests from ClientRequestLFQueue, publishes order responses to ClientResponseLFQueue, and publishes market...