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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
Author (1):
Sourav Ghosh Sourav Ghosh
Profile icon 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

Summary

This chapter focused on using all the components we have built over the last two chapters and leveraging them to build our intelligent trading strategies – the MM trading strategy and the liquidity taking trading algorithm. We spent some time understanding the theory, motivation, and behavior of these two trading algorithms with some examples.

In the next two sections, we implemented the C++ MM trading algorithm, which manages passive orders, and the liquidity taking algorithm, which sends aggressive orders to the market.

Then, we built the trading engine framework that ties together the market data consumer, the order gateway, the feature engine, the position keeper, the order manager, and the risk manager together with the two trading algorithms. This framework is what we use to join all these components together and facilitate the flow of incoming and outgoing data streams and trading intelligence.

Finally, we built the main trading application, trading_main...

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