Ghosh Building Low Latency Applications with C++

Develop a complete low latency trading ecosystem from scratch using modern C++
1. Auflage 2023
ISBN: 978-1-83763-447-7
Verlag: De Gruyter
Format: EPUB
Kopierschutz: 0 - No protection

E-Book, Englisch, 506 Seiten

C++ is meticulously designed with efficiency, performance, and flexibility as its core objectives. However, real-time low latency applications demand a distinct set of requirements, particularly in terms of performance latencies.
With this book, you'll gain insights into the performance requirements for low latency applications and the C++ features critical to achieving the required performance latencies. You'll also solidify your understanding of the C++ principles and techniques as you build a low latency system in C++ from scratch.
You'll understand the similarities between such applications, recognize the impact of performance latencies on business, and grasp the reasons behind the extensive efforts invested in minimizing latencies. Using a step-by-step approach, you'll embark on a low latency app development journey by building an entire electronic trading system, encompassing a matching engine, market data handlers, order gateways, and trading algorithms, all in C++. Additionally, you'll get to grips with measuring and optimizing the performance of your trading system.
By the end of this book, you'll have a comprehensive understanding of how to design and build low latency applications in C++ from the ground up, while effectively minimizing performance latencies.

Autoren/Hrsg.

Ghosh, Sourav

Fachgebiete

• Mathematik | Informatik EDV | Informatik Computerkommunikation & -vernetzung Cloud-Computing, Grid-Computing
• Mathematik | Informatik EDV | Informatik Technische Informatik Eingebettete Systeme
• Mathematik | Informatik EDV | Informatik Betriebssysteme Handheld Betriebssysteme

Inhaltsverzeichnis

Table of Contents - Introducing Low Latency Application Development in C++
- Designing Some Common Low Latency Applications in C++
- Exploring C++ Concepts from A Low-Latency Application's Perspective
- Building the C++ Building Blocks for Low Latency Applications
- Designing Our Trading Ecosystem
- Building the C++ Matching Engine
- Communicating with Market Participants
- Processing Market Data and Sending Orders to the Exchange in C++
- Building the C++ Trading Algorithm's Building Blocks
- Building the C++ Market Making and Liquidity Taking Algorithms
- Adding Instrumentation and Measuring Performance
- Analyzing and Optimizing the Performance of Our C++ System

Über Autor(innen)

Ghosh Sourav:
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.