A minimalist CME MDP3.0 C++ market data feed handler (and pcap file reader) 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.

This project is now DEPREACTED. Please use https://github.com/vincent212/kaspar-hft instead. Kaspar contains a production ready version of the CME MDP3 market data handler.

For the full project documentation and blog post, see: https://m2te.ch/blog/opensource/cme-mdp3

The code read MDP3 data from pcap files as well when compiled with USE_PCAP flag.

Copyright 2022 Vincent Maciejewski, Quant Enterprises & M2 Tech Contact: [email protected] [email protected] https://www.linkedin.com/in/vmayeski/ http://m2te.ch/

Latency from moment a packet is received to moment application callback is invoked is under 1 micro.

Please note the code has been tested on Centos and will not work on Windows.