[Week 2 - Justin] Construct Feed Handler, Parse ITCH
Week 2 (9/27 - 10/3) Feed Handler
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Look at Orderbook code and see how it is coded. -
Structs: Create structs for in-house proprietary HFT format. Feel free to copy or rehash the ones I made for the Orderbook. Keep it simple here. -
Parser: Feed in binary NASDAQ ITCH format and gets converted to objects that are used in the program. -
Also make a parser from HFT format to NASDAQ OUCH
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Muxer: Weave both feeds in (TCP Gateway, UDP Tickerplant) into one feed that the HFT's TP will have.
Minimum Viable Product (MVP): I can pass you ITCH file, and you can generate a queue of HFT msg objects. Feel free to dump this into a file for testing.
Edited by jlkuhn2