Bare-Metal Market Data Engines in C++

Learn to eliminate silent feed corruption with confidence using measured, verified engineering, guided by a pragmatic architect's playbook for zero-copy parsing, gap recovery, and deterministic reconstruction.

Key Features

• Master core reliability disciplines used across real production feed handlers, from parsing correctness to fault recovery
• Learn to eliminate silent corruption, including sequence gaps, reordering, dual-feed divergence, and clock-domain errors
• Build provable determinism without assuming correctness, using allocation counts, byte-identical replay, and reconciliation

Book Description

Most engineers ship a feed handler once it parses cleanly, unaware the test stream never exercised a real gap. This book closes that gap, providing the practical knowledge of zero-copy parsing, gap recovery, and reconstruction needed to build a handler with measured correctness, not assumed correctness.

You will begin by parsing FIX, ITCH, and OUCH at speed, benchmarking against real message-mix captures, and detecting sequence gaps that distinguish true loss from ordinary reordering. You'll gain a clear framework for engineering out silent corruption at its source, understanding where naive parsing, unbounded buffers, and untested recovery introduce risk, and how each cost compounds, or gets eliminated, under real load.

The book walks through the full arc of a production system: snapshot-plus-incremental recovery that survives a real outage, order book reconstruction with correctly scoped liquidity, measuring wire-to-book latency honestly, and proving determinism with byte-identical replay. It addresses production faults, including feed divergence and silent staleness, and closes with a full reference implementation.

Whether you're building your first feed handler or hardening your fourth, this book provides actionable techniques for securing correctness that holds under real load.

What You Will Learn

• Define desynchronization precisely and distinguish it from mere staleness or low throughput
• Build real zero-copy parsing without relying on assumed-safe string handling
• Deconstruct feed latency into parsing, allocation, and recovery costs
• Evaluate gap detection, retransmission, and reorder tolerance before deploying them
• Verify correctness against allocation counts and canonical state hashing before shipping
• Recognize and eliminate silent corruption sources without guessing at root cause
• Know when a book state is proven correct versus merely untested
• Design recovery for a loss-heavy, high-volume production environment

Who This Book Is For

This book is for C++ systems engineers, quantitative developers, and senior infrastructure engineers building or hardening a production feed handler. It's useful for engineers moving into latency-sensitive, high-throughput roles where correctness guarantees grow more complex. No prior binary protocol experience is assumed.

Table of Contents

1. The Anatomy of a Market Data Feed
2. FIX Protocol Parsing at Speed
3. Binary Protocol Parsing with ITCH and OUCH
4. Zero-Copy Deserialization Techniques
5. Sequence Numbers and Gap Detection
6. Gap Recovery Strategies
7. Order Book Reconstruction from Raw Feed Data
8. Multi-Feed Synchronization
9. Measuring Parser Performance
10. Deterministic Replay for Testing
11. Fault Handling and Monitoring; Appendices