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HFT Core Systems

HFT CORE SYSTEMS

Feed transport, packet headers, and sequencing

Lesson 70 of 96Phase 07: Electronic trading systems
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Learning objectives

What you should understand

  1. Parse feed packet and message framing
  2. Track packet and message sequence numbers
  3. Define behavior for duplicates, gaps and resets

Lab

Hands-on exercise

Build a sequencer that consumes crafted feed packets.

Deliverable

Evidence of completion

A tested sequencing state machine and packet-capture annotation.

Prerequisite
EP 69

Phase 07

Electronic trading systems

Full curriculum
69Market microstructure for systems engineers70Feed transport, packet headers, and sequencing71Nasdaq ITCH decoding with schema discipline72Feed arbitration, gap detection, and recovery73L1, L2, and L3 limit-order-book design74Book data structures by instrument domain75FIX tag-value, FAST, and SBE are different tools76Order entry: OUCH lifecycle and session state77Pre-trade risk as a controlled system78Order management, drop copy, and reconciliation79Deterministic replay and exchange simulation80Phase gate: market-data plant and order gateway