Networking

The feed handler is where the external world becomes internal data. A FIX or binary protocol stream arrives over the network, gets parsed into typed events, and gets handed to the internal processing pipeline. Nothing downstream can be faster than the feed handler’s latency. This is the design I evolved over three iterations at the trading firm. ...

FIX (Financial Information eXchange) protocol was designed in 1992 and looks like it. Tag-value pairs delimited by the ASCII SOH character (0x01). Fields in a prescribed order that parsers nonetheless receive out of order. A specification document larger than most novels. And yet: FIX is the universal language of electronic trading. Every exchange, every prime broker, every ECN speaks it. You will encounter it. ...