Implementing data feeds
The data feed, which provides a continuous stream of market data, is the lifeblood of any trading system. It delivers the raw information that will feed the LOB and have trading strategies to make decisions.
As we saw, processing this data in real time is a significant challenge. Market data can arrive at extremely high rates, especially during periods of high market volatility. Moreover, the data must be processed with minimal latency to ensure that trading decisions are based on the most up-to-date information.
In this section, we will explore how we can implement data feeds in our high-performance trading system using C++. We will discuss various aspects of real-time data processing, including network communication, low-latency data techniques, and the use of a FIX engine. As a practical example, we will also go deep into the QuickFIX engine (a very well-known library) and how we can implement network communication in C++ based on our LOB implementation...
