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You're reading from  Building Low Latency Applications with C++

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Published inJul 2023
PublisherPackt
ISBN-139781837639359
Edition1st Edition
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Sourav Ghosh
Sourav Ghosh
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Sourav Ghosh

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.
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Building the matching engine and exchanging external data

In this section, we will build various parts of the matching engine class. A lot of the heavy lifting of handling client requests, building and updating the limit order book, and generating order responses and market updates will be offloaded to the order book class, which we will discuss in the next section. Please reread the Designing the C++ matching engine in a trading exchange section in the previous chapter, Designing Our Trading Ecosystem, for a refresher on the components we will build in this section and the design principles behind them. We present the diagram from that chapter here for easy reference, showing the design of the matching engine.

Figure 6.2 – The design of our matching engine component

Figure 6.2 – The design of our matching engine component

The matching engine is an independent thread of execution that consumes order requests from ClientRequestLFQueue, publishes order responses to ClientResponseLFQueue, and publishes market...

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Building Low Latency Applications with C++
Published in: Jul 2023Publisher: PacktISBN-13: 9781837639359
© 2023 Packt Publishing Limited All Rights Reserved

Author (1)

author image
Sourav Ghosh

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 about Sourav Ghosh

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