A minimalist CME MDP 3.0 C++ market data feed handler implementing all required features needed to certify on CME AutoCert. It is tested/certified on futures but with minor modifications will work for spreads, options, BTEC, and EBS.
Copyright 2022 Vincent Maciejewski, Quant Enterprises & M2 Tech Contact: [email protected] [email protected] https://www.linkedin.com/in/vmayeski/ http://m2te.ch/
A bit more information on the handler is found on my blog: http://maye.ski/
In particular please see: http://maye.ski/index.php/2022/08/10/open-source-cme-market-data-handler/ http://maye.ski/index.php/2022/09/10/using-transaction-time-in-cme-gap-recovery/
Latency from moment a packet is received to moment application callback is invoked is under 1 micro.