Market data

The engine emits OutboundEvents about individual orders. A market data feed is an ordered, sequenced stream that subscribers can apply to rebuild the book. MarketDataPublisher is the bridge between the two.

MarketDataPublisher<> md([](const MdMessage& m) { multicast(m); },
                         /*tickSize*/ Price::fromDouble(0.01), /*symbol*/ 1);

MatchingEngine<MatchingBook> venue(cfg, [&](const OutboundEvent& e)
                                   {
                                     md.onEvent(e);   // fan the venue stream into MD
                                     ledgerOrMetrics(e);
                                   });

md.book();   // flox::NLevelOrderBook kept in step with the venue book

Messages

MdType	Meaning	qty field
AddOrder	an order joined the book	shown quantity
Trade	a print (id is the taker)	executed quantity
Executed	a resting order was hit	displayed remaining
Cancel	an order left the book	—
Replace	an order was repriced/resized	displayed remaining
Triggered	a stop fired	—

Every message carries a monotonically increasing seq, so a consumer can detect a gap and request a resend.

Depth is the aggregate, kept in step

The publisher maintains a flox::NLevelOrderBook, the same aggregate book type strategies consume elsewhere in FLOX, so market-data depth and the venue's internal order-level book stay in agreement. A test drives 300k commands and periodically compares the publisher's full depth against the engine's book.

Icebergs and the public feed

An iceberg shows a peak and hides the rest. The public feed must only ever see the peak, or the book can be probed for hidden size by watching what the feed reports.

That is why OrderExecuted carries two quantities:

• leavesQty: the whole remaining (peak + hidden), for the owner's execution report. You should see your own order in full.
• displayLeaves: the displayed peak, for the public feed.

The publisher drives depth from displayLeaves. Using the whole remaining would leak the reserve and, on a partial peak fill, corrupt the level aggregate.

ITCH codec and multicast

itch_codec.h encodes MdMessage into a fixed 46-byte big-endian frame. UdpMdPublisher (udp_multicast.h) publishes frames over IP multicast, with UdpMdSubscriber on the receiving end.

std::vector<uint8_t> buf;
ItchCodec::encode(msg, buf);                       // appends the frame

MdMessage out;
const bool ok = ItchCodec::decode(buf.data(), buf.size(), out);   // false if short

The decoder bounds-checks before reading, and the parser fuzz drives it with hostile input alongside the FIX/OUCH/REST parsers.

Tape

tape_recorder.h writes the outbound stream through BinaryLogWriter, so a venue session records into the same binary format the rest of FLOX reads. The tape a venue produces can be replayed by ordinary FLOX tooling.