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Writer's pictureBryan Downing

Beginning C++17: From Novice to Professional for Algorithmic Trading


Introduction

 

High-frequency trading (HFT) demands exceptional performance and efficiency. C++ has long been a preferred language due to its control over hardware resources and ability to optimize code for speed. This article explores the book "Beginning C++17: From Novice to Professional" and its relevance to aspiring HFT developers and algorithmic trading.



c++ book
c++ book

 

Why C++ for HFT?

 

  • Performance: C++ offers direct hardware access and minimal runtime overhead, crucial for executing trades at lightning speed.

  • Control: C++ provides granular control over memory management and resource allocation, essential for optimizing performance in HFT environments.

  • Community: A large and active C++ community ensures ample resources, libraries, and support for HFT development.

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Book Overview: "Beginning C++17: From Novice to Professional"

 

This comprehensive book caters to both beginners and experienced programmers aiming to master C++17. It covers fundamental concepts, modern C++ features, and best practices essential for HFT development.

 

Key Topics Relevant to HFT:

 

  1. Core C++ Concepts:

    • Data Types: Understanding primitive data types (int, float, double, etc.) and their memory representations is crucial for efficient data manipulation in HFT.

    • Operators: Familiarizing oneself with arithmetic, logical, and comparison operators is essential for writing concise and performant code.

    • Control Flow: Mastering conditional statements (if-else) and loops (for, while) is fundamental for algorithmic trading strategies.

    • Functions: Creating well-structured functions improves code readability, maintainability, and reusability.

  2. Object-Oriented Programming (OOP):

    • Classes and Objects: OOP concepts provide a framework for modeling real-world entities and their interactions, essential for designing complex trading systems.

    • Inheritance: Understanding inheritance allows for code reuse and creating hierarchies of related classes.

    • Polymorphism: Polymorphism enables writing generic code that can work with different object types, enhancing flexibility in trading applications.

  3. C++17 Features:

    • Lambdas: Lambdas are anonymous functions that can be passed as arguments or assigned to variables, offering a concise way to write functional-style code.

    • Structured Bindings: Structured bindings provide a convenient way to unpack tuples and pairs into named variables, improving code readability.

    • Generic Lambdas: Generic lambdas can work with different types of arguments, making them versatile for various HFT tasks.

    • constexpr Functions: constexpr functions can be evaluated at compile time, leading to performance improvements and enabling compile-time computations.

  4. Performance Optimization:

    • Memory Management: Understanding memory allocation and deallocation is crucial for avoiding memory leaks and optimizing performance.

    • Algorithms and Data Structures: Choosing appropriate algorithms and data structures can significantly impact the efficiency of trading strategies.

    • Profiling: Using profiling tools to identify performance bottlenecks is essential for optimizing code.

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Applying the Book to HFT Development

 

  • Microbenchmarks: Create microbenchmarks to measure the performance of different code snippets and algorithms.

  • Custom Data Structures: Design custom data structures tailored to specific HFT requirements, such as order books or market data caches.

  • Template Metaprogramming: Explore template metaprogramming techniques to generate efficient code at compile time.

  • Concurrency and Parallelism: Learn about C++17 concurrency features (threads, mutexes, futures) to leverage multi-core processors for parallel processing.

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Conclusion

 

"Beginning C++17: From Novice to Professional" serves as an excellent resource for aspiring HFT developers. By mastering the fundamentals of C++ and leveraging modern language features, readers can equip themselves with the necessary skills to build high-performance trading systems. The book's focus on performance optimization and object-oriented programming aligns perfectly with the demands of the HFT industry.


Beginning C++17: From Novice to Professional: Horton, Ivor, Van Weert, Peter: 9781484233658: Amazon.com: Books


 

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