FIX Feed

ZeptoDB Feed Handler Guide

Feed Handlers are components that receive real-time market data from exchanges, data vendors, and feed providers and ingest it into ZeptoDB.

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Supported Protocols

1. FIX (Financial Information eXchange)

Purpose: Integration with data vendors such as Bloomberg, Reuters, ICE

#include "zeptodb/feeds/fix_feed_handler.h"

// FIX configuration
feeds::FeedConfig config;
config.host = "bloomberg-feed.com";
config.port = 5000;
config.username = "APEX_CLIENT";
config.password = "password";

feeds::FIXFeedHandler feed_handler(config, &mapper);

// Tick callback
feed_handler.on_tick([&](const feeds::Tick& tick) {
    pipeline.ingest(tick.symbol_id, tick.price, tick.volume, tick.timestamp_ns);
});

// Connect and subscribe
feed_handler.connect();
feed_handler.subscribe({"AAPL", "MSFT", "TSLA"});

Characteristics:

• TCP-based
• Automatic reconnection
• Heartbeat maintenance
• Latency: 100μs-1ms

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2. Multicast UDP (Direct Exchange Connectivity)

Purpose: Direct connection to exchanges such as NASDAQ, NYSE, CME

#include "zeptodb/feeds/multicast_receiver.h"

// Multicast reception
feeds::MulticastReceiver receiver("239.1.1.1", 10000);

receiver.on_packet([&](const uint8_t* data, size_t len) {
    // Process with protocol-specific parser
    parser.parse_packet(data, len);
});

receiver.join();
receiver.start();

Characteristics:

• UDP multicast
• Ultra-low latency: 1-5μs
• Packet loss possible (no retransmission)
• High throughput: 10+ Gbps

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3. NASDAQ ITCH 5.0

Purpose: NASDAQ TotalView market data

#include "zeptodb/feeds/nasdaq_itch.h"

feeds::NASDAQITCHParser parser;

receiver.on_packet([&](const uint8_t* data, size_t len) {
    if (parser.parse_packet(data, len)) {
        feeds::Tick tick;
        if (parser.extract_tick(tick, &mapper)) {
            pipeline.ingest(tick.symbol_id, tick.price, tick.volume,
                           tick.timestamp_ns);
        }
    }
});

Supported messages:

• Add Order (Type A)
• Order Executed (Type E)
• Trade (Type P)
• Order Cancel (Type X)

Characteristics:

• Binary protocol (packed structs)
• Big-endian
• Parsing speed: ~500ns per message

---

4. Binance WebSocket (Cryptocurrency)

Purpose: Binance Spot/Futures real-time data

#include "zeptodb/feeds/binance_feed.h"

// TODO: WebSocket library integration needed
feeds::BinanceFeedHandler feed_handler(config, &mapper);

feed_handler.on_tick([&](const feeds::Tick& tick) {
    pipeline.ingest(tick.symbol_id, tick.price, tick.volume, tick.timestamp_ns);
});

feed_handler.connect();
feed_handler.subscribe({"btcusdt@trade", "ethusdt@trade"});

Stream types:

• @trade - real-time trades
• @aggTrade - aggregated trades
• @depth - order book
• @bookTicker - best bid/ask

---

Architecture

┌────────────────────┐
│ Exchange Feed      │  UDP Multicast / TCP
│ (NASDAQ, CME)      │
└─────────┬──────────┘
          ↓
┌─────────▼──────────┐
│ Feed Handler       │  Protocol parser
│ (FIX, ITCH, etc)   │  - FIX: tag=value
└─────────┬──────────┘  - ITCH: binary
          ↓             - WebSocket: JSON
┌─────────▼──────────┐
│ Symbol Mapper      │  symbol → symbol_id
└─────────┬──────────┘
          ↓
┌─────────▼──────────┐
│ ZeptoDB Pipeline   │  5.52M ticks/sec
│ ingest()           │  zero-copy
└────────────────────┘

---

Performance Optimization

1. Zero-Copy Parsing

// Bad: copy
std::string msg_copy(data, len);
parser.parse(msg_copy);

// Good: zero-copy
parser.parse(data, len);  // pass pointer only

2. SIMD Batch Parsing

// ITCH message batch parsing
auto ticks = parser.parse_batch_simd(data, len);  // AVX-512
pipeline.batch_ingest(ticks);  // batch ingestion

3. CPU Pinning

// Dedicate a core to Feed Handler
cpu_set_t cpuset;
CPU_ZERO(&cpuset);
CPU_SET(0, &cpuset);  // core 0 dedicated
pthread_setaffinity_np(pthread_self(), sizeof(cpuset), &cpuset);

---

Production Checklist

Configuration

• CPU pinning (cores 0-1 dedicated)
• Huge pages (2MB pages)
• IRQ affinity (NIC → dedicated core)
• UDP receive buffer (2MB+)
• Kernel bypass (Solarflare, Mellanox)

Monitoring

• Tick throughput (ticks/sec)
• Packet drop rate
• Parse error rate
• Latency (end-to-end)

Failure Handling

• Reconnect logic (FIX)
• Gap fill (sequence gap detection)
• Failover (Primary/Secondary Feed)
• Alerting (PagerDuty)

---

Examples

Complete Integration Example

cd /home/ec2-user/zeptodb
mkdir build && cd build
cmake ..
make feed_handler_integration

./feed_handler_integration fix

# NASDAQ ITCH
./feed_handler_integration itch

# Performance test
./feed_handler_integration perf

Example file:

• examples/feed_handler_integration.cpp

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Roadmap

Phase 1 (Complete)

• FIX protocol parser
• Multicast UDP receiver
• NASDAQ ITCH parser
• Integration example

Phase 2 (TODO)

• CME SBE (Simple Binary Encoding)
• NYSE Pillar protocol
• Binance WebSocket (actual implementation)
• Gap fill / retransmission logic

Phase 3 (TODO)

• SIMD batch parsing
• Kernel bypass (DPDK)
• GPU offloading
• Multicast Failover

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Business Value

HFT Market Entry

✅ Before: HTTP API only (ms-level latency) ✅ After: UDP Multicast + FIX (μs-level latency)

ROI:

• HFT customer targeting possible: $2.5M-12M market
• Full kdb+ replacement: FIX + ITCH support
• Data vendor integration: Bloomberg, Reuters

Competitive Advantages

Item	kdb+	ClickHouse	ZeptoDB
FIX support	✅ (external)	❌	✅ Native
ITCH support	✅ (external)	❌	✅ Native
Multicast	✅	❌	✅
Performance	baseline	N/A	equivalent

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Support

For issues:

• GitHub Issues: https://github.com/zeptodb/zeptodb/issues
• Examples: /home/ec2-user/zeptodb/examples/feed_handler_integration.cpp
• Documentation: /home/ec2-user/zeptodb/docs/feeds/