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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Understanding the behavior of our trading algorithms

In this section, we will discuss some additional details about the behavior and motivation behind the two trading strategies we will build in this chapter – the market making trading strategy and the liquidity taking trading strategy. With the use of a hypothetical example for each strategy, we will also try to understand the strategy order flow mechanics and try to further our understanding when we implement these trading strategies in our C++ system, towards the end of this chapter.

Understanding the market making trading algorithm

The market making trading strategies seek to make profits by seeking to capture the spread, which just means buying at the best bid price in the market passively and quickly selling at the best ask price in the market passively (or selling first and buying after). The market making strategies, profitability depends on the spread of the trading instrument, how many buy and sell trades the...