Exchange feed and the live book
The first stage takes the exchange's own binary feed and turns it into a level-2 book the rest of the desk can trade off. C++ sits here because the packet path is hot and Python has no business pretending to be a network card.
- ticks / sec
- 15–20K
- instruments
- ~40K
Built here.
- 01
A multithreaded C++ path from the exchange's binary transport into a level-2 book, with decompression and per-transcode decoding.
- 02
Sequence handling as a first-class contract: gaps, duplicates and reordered packets are named, counted and acted on before a book is published.
- 03
In-memory publication so consumers read the current book without a round trip, alongside a cache path for services that only need the latest quote.
- 04
A monitoring surface that separates a quiet market from a dead one, because those look identical until you decide they don't.
Failure modes.
- A missing packet, which invalidates the book rather than silently skewing it.
- A silent primary source, which fails over to a standby tape past a threshold instead of waiting.
- Beginning-of-day and end-of-day master files arriving late or malformed.
Everything downstream inherits this stage's honesty. A backtest that replays a book built on a dropped packet is measuring the bug, not the market.