The OnixS directConnect: CME MDP 3.0 Market Data Handler C++ SDK Feed Engine advanced programming features are specifically designed to enable the OnixS Market Data Handler to receive and process real-time CME MDP 3.0 market data from the network as well as file-based historical data set sources.
Considering this, the OnixS directConnect: CME MDP 3.0 Market Data Handler C++ SDK now supports PCAP and CME Datamine Historical Data Replay Feed Engines.
The OnixS directConnect: CME MDP 3.0 Market Data Handler C++ SDK Feed Engine supports two real-time network implementations, and three historical data implementations as ready-to-use solutions for specific common use cases.
These OnixS CME MDP 3.0 MDH C++ SDK Feed Engine implementations support network optimisations for real-time data and flexible replay of historical data for trading strategy analytics and back-testing.
The real-time CME MDP 3.0 market data feed network Feed Engine implementations support:
OnixS::CME::MDH::MultithreadedFeedEngine:
This is the default implementation of the Feed Engine supported by the SDK for handling live network data. It uses the standard socket API while manipulating the network layer and a pool of threads to process the transmitted data by the Handlers associated with an instance of this implementation.
SolarflareTM ultra-low latency ef_vi API on Linux:
The OnixS directConnect: CME MDP Market Data Handler C++ SDK implementation supports an implementation of the Feed Engine using the SolarflareTM ultra-low latency ef_vi API on Linux. The design of this class is similar to the OnixS::CME::MDH::MultithreadedFeedEngine optimised for high performance raw Ethernet networking.
The historical CME MDP 3.0 market data Feed Engine implementations support:
OnixS::CME::MDH::replayLogFiles:
This function provides a pre-built implementation of the Feed Engine which extracts data from the previously persisted OnixS CME MDH SDK replay format log files and pushes it into the given Handlers. Useful when using the inbuilt replay logging persistence feature of the SDK to replay historical data sets.
OnixS::CME::MDH::replayPcapFiles:
This function provides a pre-built implementation of the Feed Engine which extracts data from .PCAP (Packet Captures) files and pushes it into the given Handlers. Useful when using the ICE Data Services CME raw tick historical data or other PCAP source data.
OnixS::CME::MDH::replayDatamineFiles:
This function provides a pre-built implementation of the Feed Engine to replay CME DataMine files. This is identical to the PCAP replay with the only difference being the name of the function the parameters use to customize the behavior of the replay. Useful when using CME DataMine datasets.
The OnixS directConnect: CME MDP 3.0 Market Data Handler C++ SDK Feed Engine advanced programming feature also enables developers to build bespoke methods for extracting market data and custom historical data sources for replay.
The OnixS directConnect: CME MDP 3.0 Market Data Handler C++ evaluation distribution includes a fast-start reference implementation benchmarking source code sample. This sample has been updated to define which of the available predefined feed engine implementations may be used by the sample to exercise OnixS directConnect: CME MDP 3.0 Market Data Handler C++ API.
For more information you can download an evaluation distribution to become familiar with the use of the OnixS directConnect: CME MDP 3.0 Market Data Handler C++ SDK and Feed Engine implementations.
You can read more and access your evaluation download here.