Building the Backbone for Market Data in Modern C++
Jody Hagins, Robert Leahy & Gianluca Delfino
At LSEG, C++ is at the core of the systems powering our real-time and historical market data platforms. In this talk, we’ll explore how we’re addressing some of the most demanding challenges in performance and scalability within the financial domain.
Gianluca will delve into our low-latency feed handlers and the strategies we use to ingest and normalize live data from a wide array of sources and formats. Robert will then walk through the infrastructure and services built on top of these feeds – including systems for raw data capture, enrichment, and time-series organization — all designed for high throughput and efficient access. Along the way, we'll share key design patterns, trade-offs, and techniques we've developed to build systems that are both fast and flexible.
thanks to:
Jody Hagins
Jody Hagins has been using C++ for the better part of four decades. He remains amazed at how much he does not know after all those years. He has spent most of that time designing and building systems in C++, for use in the high frequency trading space.
Robert Leahy
Robert is a graduate of the University of Victoria where he specialized in graphics, gaming, and digital geometry processing. After spending 4.5 years in full stack web development he pivoted to financial infrastructure in early 2016 and now works on next generation market data storage and retrieval mechanisms. In 2019 he became involved in the ISO C++ committee with a particular focus on library evolution.
Gianluca Delfino
Gianluca has been working with C++ for the last 12 years in several industries such as VFX, ML and Finance. He recently joined the WG21 standard committee with an interest in Low Latency and Safety.