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:
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™