Market Data Feed Handlers
Market data feed handlers are specialized software components that receive, decode, and normalize raw market data from exchanges and other venues into standardized formats for trading applications. They play a critical role in modern trading infrastructure by efficiently processing high-volume, real-time market data feeds while maintaining ultra-low latency.
Understanding market data feed handlers
Market data feed handlers serve as the crucial first point of contact between trading systems and real-time market data (RTMD). Their primary function is to transform venue-specific binary protocols into normalized formats that downstream trading applications can consume.
Key responsibilities include:
- Protocol decoding
- Message normalization
- Sequence gap detection and recovery
- Feed arbitration
- State management
- Performance monitoring
Feed handler architecture
Feed handlers typically implement a multi-threaded architecture to maximize throughput:
- Network reception thread(s)
- Protocol decoder thread(s)
- Normalization and enrichment thread(s)
- Distribution thread(s)
Protocol support and standardization
Feed handlers must support various market data protocols including:
- Binary protocols (ITCH, PITCH)
- FIX Protocol market data messages
- Proprietary exchange formats
- Market-specific feeds (OPRA,SIP)
Next generation time-series database
QuestDB is an open-source time-series database optimized for market and heavy industry data. Built from scratch in Java and C++, it offers high-throughput ingestion and fast SQL queries with time-series extensions.
Performance considerations
Feed handler performance is critical for trading systems, particularly for:
Latency management
- Minimize processing overhead
- Optimize memory allocation
- Reduce context switching
- Implement zero-copy architectures
Throughput optimization
- Handle microbursts efficiently
- Scale with market data volumes
- Process multiple feeds simultaneously
- Manage peak message rates
Market data quality
Feed handlers play a vital role in ensuring market data quality:
Data validation
- Sequence number tracking
- Message integrity checks
- Timestamp validation
- Field-level verification
Recovery mechanisms
- Gap detection
- Snapshot synchronization
- Feed failover
- Historical data replay
Integration with trading systems
Feed handlers must integrate seamlessly with various trading system components:
Market data distribution
- Internal message buses
- Multicast networks
- Point-to-point connections
- Data enrichment services
Trading applications
- Order Management Systems (OMS)
- Smart Order Routers (SOR)
- Market making systems
- Risk management platforms
Monitoring and management
Effective feed handler operation requires comprehensive monitoring:
Performance metrics
- Message latency statistics
- Queue depths
- Processing times
- Resource utilization
Health monitoring
- Feed status
- Connection state
- Error rates
- Data quality metrics
Market data feed handler implementation
When implementing feed handlers, organizations must consider:
Infrastructure requirements
- Hardware specifications
- Network connectivity
- Colocation services
- Redundancy architecture
Operational considerations
- Capacity planning
- Disaster recovery
- Configuration management
- Version control
Feed handlers represent a critical component in modern trading infrastructure, where their performance and reliability directly impact trading system effectiveness and risk management capabilities.