Market Data Handler and Order Gateway: Initial Implementation

Hands-on goal: design a tiny, practical skeleton that shows how a UDP multicast market-data listener and a TCP/UDP order gateway fit together. We'll simulate both sides so you (a beginner in C++, Python, Java, C, JS) can see the core ideas without needing exchange credentials or NIC tuning yet.

Why this matters (short):

• Market data (multicast) is usually UDP-style: fire-and-forget, no retransmit. If you miss a packet you must detect gaps (sequence numbers) and recover via snapshot or TCP replay.
• Orders (gateway) are typically TCP (or a binary TCP protocol like OUCH): reliable, ordered, and you must acknowledge and validate.
• Building a clean separation helps: MarketDataHandler (parse, detect gaps, publish) and OrderGateway (validate orders, send, ack).

Core concepts you should walk away with:

• Sequence recovery: maintain last_seq, detect seq != last_seq + 1. Missing packet -> request replay/snapshot.
• Parsing: binary parsing (map bytes to fields) vs text parsing (FIX tag=value with SOH \x01).
• Minimal API design: fast-in path for market updates, slightly heavier path for order validation.

ASCII data-flow (simplified)

Exchange multicast (ITCH-like) ---> NIC ---> [MarketDataHandler: parse, seq-check] ---> Strategy ---> [OrderGateway: validate, TCP submit] ---> Exchange TCP

A few notes tailored to your background:

• If you're comfortable in Python, reimplement the C++ demo in Python to feel the ergonomic differences (strings, slicing, map ops). For Java, C, or JS the same primitives apply: buffer handling + sequence bookkeeping.
• For basketball fans: we use symbol KB24 in the demo — change it to your favourite player ticker to make it fun while you learn.

What the included C++ example does (run it in the code pane):

• Simulates two binary multicast packets (big-endian sequence number + fixed 8-byte symbol + price + size).
• Intentionally sends a gap (1001 then 1003) to show gap detection and a simulated recovery trigger.
• Parses a tiny FIX-like order and prints parsed tag => value pairs.

Guided challenges (pick one or more):

• Add checksum verification for the FIX message (tag 10) and reject orders with bad checksums.
• Simulate a replay server: when a gap is detected, fetch a synthetic snapshot (in C++ or Python) and patch the state.
• Reimplement the multicast parser in Python using struct.unpack and compare code size and readability.
• Replace the simulated packets with a real UDP socket receiver (Linux) and test with a local pcap replay tool like tcpreplay (only after you understand sandbox/network safety).

Practical tips before you move on:

• Keep the hot path minimal: avoid allocations per packet in production. This demo uses strings/vectors for clarity.
• Validate lengths and fields before trusting values (never trust network input).
• Log sequence gaps and add metrics (counter of gaps, last good seq) — useful when you graduate to profiling with perf.

Try this next: edit the C++ code to (1) change KB24 to your favorite ticker/player, (2) simulate a second gap, and (3) print how many gaps were detected. Or, reimplement the parse_fix function in Python to compare parsing convenience.

Happy hacking — this small demo is the seed of a real market-data handler and a safe order gateway skeleton. Build on it, then we’ll add sockets, recovery protocols, and latency measurements in later labs.

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#include <iostream>

#include <vector>

#include <string>

#include <unordered_map>

#include <cstdint>

​

using namespace std;

​

// Simple helpers to simulate incoming binary multicast packets (big-endian)

uint32_t read_be32(const vector<uint8_t>& b, size_t off) {

  return (uint32_t(b[off]) << 24) | (uint32_t(b[off+1]) << 16) | (uint32_t(b[off+2]) << 8) | uint32_t(b[off+3]);

}

​

vector<uint8_t> make_packet(uint32_t seq, const string& sym, uint32_t price, uint32_t size) {

  vector<uint8_t> p;

  // 4-byte sequence (big-endian)

  p.push_back((seq >> 24) & 0xFF);

  p.push_back((seq >> 16) & 0xFF);

  p.push_back((seq >> 8) & 0xFF);

  p.push_back(seq & 0xFF);

​

  // fixed 8-byte symbol (padded with \0)

  string s = sym;

  s.resize(8, '\0');

  for (char c : s) p.push_back((uint8_t)c);

​

  // 4-byte price and 4-byte size

  p.push_back((price >> 24) & 0xFF);

  p.push_back((price >> 16) & 0xFF);