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Building Low Latency Applications with C++

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
Author (1):
Sourav Ghosh Sourav Ghosh
Profile icon Sourav Ghosh
LinkedIn
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.
See other products by 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 18. Other Books You May Enjoy

Building the C++ Market Making and Liquidity Taking Algorithms

In this chapter, we will implement a C++ market making algorithm on top of all the components we built in the previous chapters. This market making algorithm will connect to and send orders to the trading exchange we built previously. Additionally, we will implement a C++ liquidity taking algorithm in the same trading engine framework. This liquidity taking algorithm will also connect to and send orders to the trading exchange.

In this chapter, we will cover the following topics:

  • Understanding the behavior of our trading algorithms
  • Managing the passive liquidity provided in the order book
  • Opening and closing positions aggressively
  • Building the trade engine framework
  • Building and running the main trading application
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Authors (1)

Profile icon Sourav Ghosh
LinkedIn
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
See other products by Sourav Ghosh

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