exceptions / throw

when you start a trading system in the middle of a day (it's often needed) history of orders is not available. therefore there is 100% chance of getting a lot of "invalid_argument(string("invalid order id: ") + to_string(order_id))" exceptions (hundreds).

as you probably know exceptions takes a lot of time to process in C++ unfortunately. i believe we should get rid of all the "throw" clauses.

[jvirtanen]

@divaykin Isn't there usually always some kind of facility (backfill or spin) for catching up on historical market data from earlier in the currently active trading session?

yes there is but with error codes instead of exceptions it'd be much less. make sense @jvirtanen ?

[jvirtanen]

@divaykin If there are trading venues where you have to request historical market data on e.g. order identifier basis, I agree with your sentiment.

I'm only familiar with trading venues, such as BATS or NASDAQ, where you either request a spin upon startup or go into backfill on the first market data message based on a higher-than-expected sequence number. In such circumstances, these exceptions would be thrown only in error situations.

i think that even just any catch statement in the caller code is not completely free of performance penalty. and then there could be a gap in your multicast feed. essentially i don't see much benefits of exceptions at all in the feed handler

[dsimba]

Exceptions are just bad for performance. If at all possible, better to handle the issue if it is predictable.