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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Managing the passive liquidity provided in the order book

At this point, we have all the sub-components we need to start building our trading strategies. The first strategy we will build will be the MM algorithm, which sends orders that are expected to rest passively in the order book. We discussed the details of this trading algorithm earlier in this chapter, so in this section, we will focus on the C++ implementation. All the source code for this MarketMaker trading algorithm can be found in the Chapter10/trading/strategy/market_maker.h and Chapter10/trading/strategy/market_maker.cpp source files.

Defining the data members in the MarketMaker algorithm

First, we need to define the data members that make up the MarketMaker class. The key members are the following:

A pointer to a constant FeatureEngine object called feature_engine_, which we will use to fetch the fair market price, using the FeatureEngine::getMktPrice() method we saw earlier
A pointer to an OrderManager...