Market Data Feed Handler

Codename: conduit

Purpose

Build a market data feed handler that parses Nasdaq's ITCH 5.0 binary protocol, reconstructs the full order book from the message stream, and exposes a normalized, queryable view of market state.

When complete, conduit feeds directly into vortex, forming an end-to-end market data → order book pipeline.

Constraints

• Language: C++17 minimum, C++20 permitted.
• Dependencies: Zero runtime dependencies for the core parser and book builder. GoogleTest/Catch2 for testing, Google Benchmark for benchmarks. mmap for file I/O.
• Build system: CMake. Must build cleanly with -Wall -Wextra -Wpedantic -Werror.
• Platform: Linux x86_64.

Background: ITCH 5.0

Nasdaq TotalView-ITCH 5.0 is a binary protocol that communicates the full depth of book for all Nasdaq-listed securities. The spec is publicly available from Nasdaq:

Spec URL: https://www.nasdaqtrader.com/content/technicalsupport/specifications/dataproducts/NQTVITCHspecification.pdf

Sample data: Nasdaq provides historical ITCH data files. A single day's file is typically 5-8 GB uncompressed.

The protocol is a stream of variable-length binary messages. Each message begins with a 2-byte big-endian length field (in the file format), followed by a 1-byte message type, followed by type-specific fields. All multi-byte integers are big-endian. All prices are in fixed-point format (price × 10,000 stored as a 32-bit integer, except for some 64-bit fields).

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