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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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...