2007 Jun 10 - Sun

Trading Site of the Day -- C++ Fast Delegates, plus Boost

No, C++ Fast Delegates aren't really trading algorithms, but they do help make trading algorithms fast.

In the C# world, the C# language has the built-in capacity to store multiple object/method pointers and call them in response to some sort of activity. This is generally referred to the Observer Pattern of event based programming. In C#, the structure is called a Delegate.

C++ does not provide a native Delegate structure. Don Clugston wrote an article called Member Function Pointers and the Fastest Possible C++ Delegates. I've used this method successfully with Microsoft Visual Studio 2005.

Don's implementation is unable to do multicast delegates. Sergey Ryazanov wrote an article called The Impossibly Fast C++ Delegates that supposedly is more C++ compliant and has a multicast capability.

JaeWook Choi took the work one step farther and implemented a multicast delegate that is a drop in replacement for the Boost C++ Libraries. Boost is a collection of free peer-reviewd portable C++ source libraries. JaeWook's library is faster than Boost, but slower than Don's library. But JaeWook's library is mulitcast and does offer up additional functionality. Timings and feature sets can be reviewed in his article called Fast C++ Delegate: Boost.Function 'drop-in' replacement and multicast.

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