Introduction

C++ CME FIX/FAST Market Data Handler is a C++ library that provides an access to the CME Group market data using FIX/FAST protocol. High-level C++ API allows to quickly build applications to get market data without much involve into raw protocol specifics.

Below are the key features of the C++ CME FIX/FAST Market Data Handler:

Easy-to-use API.
Multithreaded architecture.
Low latency, high throughput.
Synchronizing client systems to the latest market state.
Security definition and status delivery to the client system.
Security definitions caching for faster start-up and recovery.
Incremental order book management.
Real-time Trade and News notifications.
Recovery from network-related issues using "TCP Replay" and "Market Recovery" facilities.
Arbitration between primary (A) and secondary (B) feeds.
Per-security filtering.
Ability to handle multihomed hosts.
Flexible logging.
Log replay facility.

Getting Started section will guide through the most significant parts of the Handler's architecture.

Advanced Programming provides information about sophisticated development tasks and techniques available in the Handler.

Note:: It's highly recommended to read the "CME Group. Market Data Platfrom FIX/FAST. Core Functionality" document before reading this Guide to get familiar with core aspects of CME Group Market Data System. It's also highly recommended to review the source code of the sample project which comes as part of library's distributive package alongside reading this Guide.