EPAM B2BITS Market Data Handler for ICE iMpact  is a low-latency solution allowing feeding ICE market data directly into the user's algo-trading application. The solution is pre-certified with ICE. The market data handler is a C++ library intended to work in an ICE Exchange co-location environment with direct access to a UDP Multicast.

Features

Feature Description
ICE iMpact Market Data Feeds access

Connects and maintains connections to the ICE iMpact multicast price feed via the ICE UDP multicast interface while listening to the following channels:

  • TOP 5
  • Top of the Book (TOB)
  • Full Order Depth 
Full support of required Direct Access User (DAU) functionality
Supported ICE instruments Supports all ICE instrument types including Futures, Cracks and Intermarket Spreads, Options, UDS
Subscription types

Supports all types of subscriptions to ICE market data:

  • Per-instrument subscription 
  • 'Ticker-plant' mode (for all-instrument subscription)
Auto recovery

Automatically detects UDP packet gaps and recovers lost market data. The following is used to guarantee ICE market data completeness and actuality:

  • Packet gap detection logic is based on packet sequence numbers to detect gaps as soon as possible
  • TCP Broker service to share TCP data recovery connection to ICE among multiple handlers deployed in a network
Configuration

Automatically produced configuration can be overridden by the user via a configuration file and/or API calls.
Market data processing
  • BBO conflation
  • Built-in price book
Low latency/ High performance

Adapts to the hardware it is running on to deliver the best performance. Supports two basic performance profiles (LowLatency and NonAggressive) accompanied by over 20 fine tune parameters.

Low-latency design optimized for modern multi-core processors

  • 400 ns mean latency from network socket read to user callback 
  • 6 microsecond wire-to-wire tick-to-trade latency when used together with B2BITS FIX Antenna® to support the order entry session
Simple intuitive API

High and low-level C++ API allowing the following:

  • Subscribe/unsubscribe by symbol
  • Receive security definitions, snapshots, increments, news and security statuses via call-backs
  • Use of several threading options
    Fan out data into parallel threads instead of sequential delivery
     Use of separate threads for Futures and Options processing
Well packaged

ICE iMpact Market Data Handler is delivered with:

  • Pre-compiled binaries 
  • Getting started console application with simple instrument subscription
  • Sample GUI Trading Terminal with market data and order blotter
  • Low latency trading application example (requires FIX Antenna® library)
  • Tick2trade test harness using PCAP input
  • UDP tools for data capture and replay at different speeds
  • Utility to produce the audit trail output according to ICE Futures U.S. Electronic Audit Trail Requirements

Software escrow is available on demand 
Supported platforms

Supported OS:

  • Windows
  • Linux

Supported compilers:

  • GCC 4.8, GCC 6.1 - with C++03 and C++11 ABIs
  • MS Visual Studio 2015/2017
Ready for use with OS kernel bypass NIC cards: Solarflare™ OpenOnload and Myricom DBL™
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