Preface

The financial industry is complex and always changing, needing advanced tech solutions. C++ is a popular language for creating powerful software in finance due to its speed and reliability. This book explores how C++ is used in finance and trading, guiding you on applying it to build effective trading systems.

Whether you’re a tech-savvy developer entering finance or a finance pro wanting more tech know-how, this book helps you navigate financial technology. It covers the technical basics for building trading systems, including network protocols and other essential considerations.

C++ High Performance For Financial Systems navigates the intricate domain of high-performance computing (HPC) applied within the financial trading sphere, particularly through the lens of C++ for developing low-latency trading systems.

It progressively unveils the complexities of creating robust, efficient trading platforms capable of handling the rapid pace of high-frequency trading (HFT). Each chapter delves into critical components of trading systems, from market data processing and order execution mechanisms to risk management and compliance, culminating in a comprehensive guide on scalability and future technologies poised to impact the sector, such as AI/ML and quantum computing. Drawing on real-world challenges and innovative solutions honed through years of experience, this book offers a practical roadmap for software engineers and quantitative analysts aspiring to excel in the fast-evolving landscape of financial trading.

With this book, I embark on a journey to share the culmination of years spent at the forefront of software development within the financial trading realm, specifically within hedge funds and proprietary trading shops focused on HFT. My career began with writing software for analyzing derivatives, creating sophisticated pricing models, and, based on these models, generating strategic trading approaches. This initial foray laid the groundwork for what was to become a deep dive into the world of HFT, marked by a transition to re-engineering the software infrastructure of a proprietary trading firm. It was here, in the high-stakes environment of HFT, that I was compelled to master the nuances of creating ultra-low latency trading systems. This period was characterized by intense secrecy within the industry, amplified by the release of the “Flash Boys" book, which cast the HFT sector in a controversial light. Amidst this backdrop of secrecy and stigma, the quest for knowledge became a solitary endeavor, pushing me towards innovative, sometimes unconventional programming methodologies. The absence of readily available information on optimizing HFT systems or any high-performance computing systems led me down a path of relentless experimentation, benchmarking, and learning.

Inspired by the challenges I faced due to the scarcity of shared knowledge in the early days of my career, I resolved to illuminate the path for others venturing into the domain of low-latency trading systems. This book stems from a desire to consolidate and share the technical knowledge I've accumulated, offering insights without revealing proprietary secrets. My journey from penning blog posts to contributing articles to renowned publications has culminated in this comprehensive guide. While its roots are in the HFT space, this book encompasses a broader spectrum, detailing the intricate web of components that constitute an entire trading system. It is my hope that this book will ease the entry of software engineers into the finance industry, providing them with a roadmap to navigate the complexities of this field.

Who this book is for

This book is tailored for experienced C++ developers aspiring to make their mark in the finance industry, particularly in the electronic trading sectors of investment banks, asset managers, or hedge funds. It also aims to bridge the gap for quantitative researchers and individuals possessing a strong foundation in finance but seeking to deepen their programming expertise. By the conclusion of this book, readers will be equipped to architect an enterprise-level trading system from the ground up, armed with best practices for high-performance computing systems. Targeted at C++ developers, quantitative analysts, and financial engineers, this book presupposes a solid grasp of C++ programming, alongside an understanding of basic financial and trading principles. Through this work, I aim to demystify the complexities of trading system development, offering readers the keys to unlocking their potential within the dynamic world of finance.

What this book covers

Chapter 1, Introducing C++ in Finance and Trading, provides an overview of C++ in finance and trading, including its role, popular applications, benefits, and challenges.

Chapter 2, System Design and Architecture, addresses the two important aspects of developing financial systems - Software Design and Software Architecture. We will learn the various components of a financial system along with their interdependencies. Further, we would understand the best practices for designing the system and also the challenges in developing the architecture of such systems.

Chapter 3, High-Performance Computing in Financial Systems, delves into the specifics of implementing robust, scalable, and efficient financial systems. Expect to grapple with complex issues and make critical decisions that shape the backbone of our financial systems. Each section serves to enlighten and equip you with the skills necessary to build, maintain, and enhance high-performance computing systems in the financial domain.

Chapter 4, Machine Learning in Financial Systems, teaches all about ML in financial systems - how to implement the algorithms, how to integrate ML into the system, and evaluate various ML models for financial systems.

Chapter 5, Scalability in Financial Systems, looks at how we scale a financial system to accommodate the ever-increasing traffic on our system. This chapter will take you through the best practices for achieving scalability, understanding the trade-offs, and monitoring the system.

Chapter 6, Low-Latency Programming Strategies and Techniques, covers the low latency aspect which is quite important for any financial system. We will discuss the various strategies and components essential for a low latency system.

Chapter 7, Advanced Topics in Financial Systems, covers advanced topics that will help you improve the working of your financial systems. We will be looking at algorithmic trading, high-frequency trading, and emerging technologies that you can utilize while developing your system.

To get the most out of this book

This book is for experienced C++ developers who want to enter the finance industry and learn how trading systems work. It is also suitable for quantitative analysts, financial engineers, and anyone interested in building scalable and robust trading systems. The book assumes familiarity with the C++ programming language, data structures, and algorithms. Additionally, readers should have a basic understanding of finance and trading concepts, such as market data, trading strategies, and risk management.

Hardware/Software	Operating System requirements
g++ Compiler	Windows, macOS or Linux
VS Code	Windows, macOS or Linux
Intel oneTBB	Windows, macOS or Linux
Google Benchmarks	Windows, macOS or Linux
Ubuntu Guest Virtual Machine	Windows, macOS, or Linux

If you are using the digital version of this book, we advise you to type the code yourself or access the code from the book’s GitHub repository (a link is available in the next section). Doing so will help you avoid any potential errors related to the copying and pasting of code.

Note

The code provided in the chapters serves as an illustrative example of how one might implement a high-performance trading system. However, it is important to note that this code may lack certain important functions and should not be used in a production environment as it is. It is crucial to conduct thorough testing and add necessary functionalities to ensure the system’s robustness and reliability before deploying it in a live trading environment.

Download the example code files

You can download the example code files for this book from GitHub at https://github.com/PacktPublishing/C-High-Performance-for-Financial-Systems-. If there’s an update to the code, it will be updated in the GitHub repository.

We also have other code bundles from our rich catalog of books and videos available at https://github.com/PacktPublishing/. Check them out!

Download the color images

Screenshots of code snippets in the chapters might be difficult to read in some instances. High-quality screenshots of all code snippets used in the book are uploaded here for reference: https://github.com/PacktPublishing/C-High-Performance-for-Financial-Systems-/tree/main/Code%20screenshots.

Conventions used

There are a number of text conventions used throughout this book.

Code in text: Indicates code words in text, database table names, folder names, filenames, file extensions, pathnames, dummy URLs, user input, and Twitter handles. Here is an example: “ The header contains crucial fields such as BeginString (defines FIX version), SenderCompID, TargetCompID, and MsgType.”

Tips or important notes

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