OnixS C++ CME Market Data Handler  4.4.1
API documentation

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

C++ CME Market Data Handler is a C++ library that provides an access to the CME Group market data platform (MDP) of the third generation. The software development kit encapsulates all low level aspects of the CME market data platform allowing to focus on trading solutions implement and market data processing algorithms. The high-level C++ API allows to build applications quickly to get market data without much involvement into raw protocol specifics of the MDP.

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.
  • Taking advantage of all recovery services MDP provides to recover lost data or to get latest state.
  • Arbitration between primary (A) and secondary (B) feeds.
  • Per-security filtering.
  • Log replay facility.

What is new section explains new features and important changes made by the development team into the SDK API and behavior since the previous major release.

Migration Guide uncovers aspects of painless migration from previous releases.

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

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

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

FAQ contains commonly asked questions and answers.

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

Support describes best ways to get support on the product.

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