cppvalleyC++ · Systems · Low Latency · HFT
HFT Core Systems

HFT CORE SYSTEMS

Nasdaq ITCH decoding with schema discipline

Lesson 71 of 96Phase 07: Electronic trading systems
Video lesson coming soon

The written objectives and hands-on lab are available now.

cppvalley on YouTube ↗

Learning objectives

What you should understand

  1. Translate a wire specification into typed messages
  2. Validate length, endian and message type
  3. Evolve decoders without scattering schema knowledge

Lab

Hands-on exercise

Decode a documented subset of TotalView-ITCH messages.

Deliverable

Evidence of completion

A schema-driven decoder with fixtures and malformed-input tests.

Prerequisite
EP 70

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