A minimalist CME MDP 3.0 C++ market data feed handler implementing all required features
This project contains code for a minimalist feed handler for the CME MDP3 protocol. It is designed for futures but with some modifications it will work for BTEC and EBS.
Support is avaible from the authors:
Copyright 2022 Vincent Maciejewski, Quant Enterprises & M2 Tech Contact: v@m2te.ch mayeski@gmail.com https://www.linkedin.com/in/vmayeski/ http://m2te.ch/
Released under the MIT license.
A bit more information on the handler is found on my blog: http://maye.ski/
In particular please see: http://maye.ski/index.php/2022/08/10/open-source-cme-market-data-handler/ http://maye.ski/index.php/2022/09/10/using-transaction-time-in-cme-gap-recovery/
Wish List: Better A/B socket arbitration Queueing of messages to prevent packet loss
Feel free to get in touch!