OnixS C++ CME MDP Conflated UDP Handler  1.0.2
API documentation

Welcome to the knowledgebase for the C++ CME Market Data Handler!

C++ CME Market Data Handler is a C++ library that provides access to the CME Group market data platform (MDP). The software development kit encapsulates all low-level aspects of the CME market data platform, focusing on implementing a trading solution and market data processing algorithms. The high-level C++ API allows building applications quickly to get market data without much involvement in the MDP protocol.

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

  • Easy-to-use API.
  • Multi-threaded architecture.
  • Low latency, high throughput.
  • Incremental order book management, including natural refresh.
  • Real-time trades and market data statistic notifications.
  • Support of all recovery services to recover missed data or synchronize market state.
  • Arbitration between primary (A) and secondary (B) feeds.
  • Per-security filtering.
  • Log replay facility.

Feature Summary section explains new features and significant changes made by the development team into the API and behavior since the previous release.

Migration Guide uncovers aspects of painless migration from previous major releases.

Getting Started section guides through the most significant parts of the SDK and the Handler's architecture.

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

Low Latency Best Practices on achieving the best latency of market data processing.

FAQ contains commonly asked questions and answers.

External resources section lists online resources on the product, CME market data platform, and other related areas like troubleshooting lost multicast packets.

Support describes the best way to get support for the product.

For a complete list of available topics, see Table of Contents.