Looking for resources about C++ real time programming for trading system

[PX]

Greetings,

For those who want to be/already are quants or software engineers in
financial firms, does any of you happen to know some resources about
C++ real time programming for trading system? I know it requires
knowledge in TCP/IP protocols, multithreading and messaging, primarily
socket level based. But I would like to know whether there are some
resources, like books or open source projects. Just want to pick it up
asap.

Any information would be appreciated!

Regards,
PX

 

[Uenal Mutlu]

For those who want to be/already are quants or software engineers in
financial firms, does any of you happen to know some resources about
C++ real time programming for trading system? I know it requires
knowledge in TCP/IP protocols, multithreading and messaging, primarily
socket level based. But I would like to know whether there are some
resources, like books or open source projects. Just want to pick it up
asap.
Any information would be appreciated!

I have worked on this before, you can email me.
Most open source projects aren't using RT, they simply use EOD data
and HTTP protocol.
I've used UDP and TCP sockets for collecting RT mass data (tick data)
delivered via satellite for all US and some european equities, and distributing
it to connected clients using uni- and multicasting and using multiple threads.
Also for RT analysis of the whole market.
Performance is ok too if you take a say 2800 Mhz AMD machine, but this
depends on the clients to serve simultanously. You can also distribute the
clients to multiple machines using a self-written load balancing mechanism
and exchanging state info and other data by local multicasts.
So, from C++ point of view there is no problem for all this.

 

[eb]

Look at using FIX protocol for trade execution.
If you're only starting on the project I'd recommend using Java. Built
in threading is more likely to meet your realtime requirements.
Sockets are made simple. RMI allows extremely simple IPC. Possibly the
greatest advantage is that Java should allow you the most flexibility
with any 3rd party system with which you need to interoperate. Many
providers use internet protocols - you'll find support for those,
together with libraries to implement the security the providers almost
certainly require, built into Java.
Dave