UltraLowLatencyFeedHandler

An ultra-low-latency market data feed handler written in modern C++ for parsing ITCH/FIX protocols

Features

• High-performance networking with Boost.Asio (TCP/UDP/Multicast)
• Protocol support:
  • ITCH (for order book updates)
  • FIX (for trade messages)
• Low-latency design:
  • Zero-copy buffer management
  • Lock-free message queue
  • Memory pooling for hot paths
• Benchmarks for latency and throughput
• Test suite with Google Test
• Documentation of my design choices

Requirements

• C++20 or later compiler (GCC, Clang, MSVC)
• CMake 3.28+

Dependencies

• Asio (or Boost.Asio)
• spdlog (logging)
• GoogleTest (testing)
• GoogleBenchmark (benchmarking)

Installation

git clone https://github.com/harris2001/UltraLowLatencyFeedHandler.git
cd UltraLowLatencyFeedHandler

Building

cmake -B "$BUILD_DIR" -DCMAKE_BUILD_TYPE=Release
cmake --build "$BUILD_DIR" -j"$NUM_CORES"

Run tests

ctest --test-dir "$BUILD_DIR" --output-on-failure

Note: This code for this repository has been only tested on Linux.