Market Data Feed

Market Data Feed is a C++20 feed handler for compact binary market-data messages. It parses the wire format, tracks sequence numbers, recovers from gaps, applies updates to an L2 order book, and replays recorded streams deterministically.

Every message opens with a 16-byte little-endian header carrying magic, version, type, sequence, and symbol id, followed by a payload that varies by message type. The set covers add, modify, cancel, trade, snapshot, and heartbeat. Invalid magic, version, type, or length is rejected outright, without mutating the book.

A feed handler is judged by how it treats the packets it never received. The sequence tracker drops duplicates, buffers a bounded window of out-of-order messages and flushes them in order, and flags anything past that window as a gap. Gaps trigger snapshot-based recovery instead of leaving the book quietly wrong.

Recorded sessions replay through the same parse path with no wall-clock delays, so book state after a replay matches the state from the original recording exactly. That property is what turns an intermittent bug into a reproducible one.

Parsing and book updates are decoupled across a bounded single-producer single-consumer queue, and orders and buffers come from preallocated pools to keep allocation out of the steady state. In-memory replay on a modern desktop clears a million messages per second, with median parse-to-enqueue latency under a microsecond and high percentiles in the low microseconds.

GoogleTest suites cover malformed packets, duplicates, missing and out-of-order sequences, snapshot recovery, record and replay identity, the object pools, and the SPSC queue, alongside a Google Benchmark harness for throughput and latency.