|Setting Up Feed Engine|
|Replaying Log Files|
C++ Nasdaq NFI ITCH Market Data Handler is a C++ library that provides an access to the Nasdaq NFI market data services. Handler encapsulates all low level aspects of the market data platform allowing focusing on implementing trading solutions and market data processing algorithms. High-level C++ API allows to quickly build applications to get market data without much involve into raw protocol specifics.
The typical way of using a handler is as follows:
Handler's constructor accepts instance of settings class which defines values of various parameters for determination Handler's behavior. Role of the most important parameters that used in regular cases is described below.
By default, all important aspects of handler's activity is logged. Therefore the handler must know where this kind of information can be stored on a local file system. OnixS::eSpeed::MarketData::Itch::HandlerSettings::logDirectory parameter need be defined for pointing the handlers place where log files to be stored.
To run a handler's instance it is required to have a license file. When the instance is not able to find a valid license it throws an exception at the initialization stage.
OnixS::eSpeed::MarketData::Itch::HandlerSettings contains OnixS::eSpeed::MarketData::Itch::HandlerSettings::licenseDirectory member which contains path to directory containing license file(s). If it's value is empty the handler looks for the license file in current directory.
Following example demonstrates how to setup primary settings for OnixS::eSpeed::MarketData::Itch::RdiHandler:
Network layer responsible for receiving market data trasmitted by Eurex data interfaces is encapsulated into a OnixS::eSpeed::MarketData::Itch::FeedEngine class. Therefore, to have successfull market data processing, it's necessary to construct instance of the Feed Engine and bind it to the previously constructed instance of a handler class:
See Feed Engine for more details on Feed Engine.
The handler is able to build internal Order Books. To activate this feature register OrderBookListener.
To achieve better performance the Order Books are created in preallocated memory area. To adjust preallocated memory pool size set HandlerSettings::maxBooksObjectAmount. The default value is 500; If the preallocated objects amount is not enough to place all the created books en exception will be thrown when book creation fails.
If building internal Order Books is turn on correctly, corresponding callbacks will be invoked. OrderBookListener::onOrderBookUpdated is invoked when any Order Book object's state is changed. A reference to corresponding Order Book object is passed into this callback.
OrderBookListener::onOrderBookOutOfDate is invoked if Order Book object is out is of date when system detects inactivity.