helix
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penberg
Helix, a market data feed handler for C and C++.
when you start a trading system in the middle of a day (it's often needed) history of orders is not available. therefore there is 100% chance of getting a lot...
Great tool, thanks so much for sharing! I am running helix-trace using the following command line: ./helix-trace -i /media/sf_data/ITCH5.0/08302017.NASDAQ_ITCH50 -s AAPL -P nasdaq-binaryfile-itch50 -f csv -o AAPL.csv 08302017.NASDAQ_ITCH50 is downloaded...
The MoldUDP handler does not support gap-fill like MoldUDP64 does since commit 78f976c0fb1f2df604c87d7dc61819ccbb3c8dc1
The NASDAQ MoldUDP and MoldUDP64 protocol handlers don't currently check the session ID at all.
The unit of timestamps is not standardized across the API. For example, the feed handler API returns milliseconds for Nasdaq Nordic ITCH but nanoseconds for the US ITCH variant.
order book / order should be able to hold negative price. NASDAQ TV does not have this but a lot of derivative exchanges do
according to `perf` now a lot of time is spent in here https://github.com/penberg/helix/blob/master/src/nasdaq/itch50_handler.cc#L132 is stock locate constant for a symbol always? what we can do is - in a build...
current performance test assumes constant price. therefore multiple `price_level`s are not used
a lot of protocols has decimal conversion factor other than ITCH's 1e-4, for example MDP3 has a factor 1e-7. some protocols has variable (by instrument) factor.
would be great for tools and other classes to support addition of new / user parsers. for example `helix-trace` could discover available parsers