A common use-case for trading strategy development, analytics, and calibration is reconstructing what happened in the target markets over historical time periods i.e: 'what order events would have been generated by my trading strategy based on market state and would they have been in the money?'
And timing matters in this context – low latency trading strategies are sensitive to slippage. To accurately reconstruct the market data and order book based on history requires high precision and reliable nanosecond resolution data sets, to know exactly what happened and when.
The OnixS directConnect: CME MDP 3.0 Market Data Handler SDK Feed Engine implementations support advanced programming features that are specifically designed to enable receipt and processing of real-time market data feeds and also support file-based historical data set sources for Replay.
The OnixS::CME::MDH::replayPcapFiles function provides a pre-built implementation of the Feed Engine which extracts data from .PCAP (Packet Captures) files and pushes it into the given Handlers. Very useful when used with the Databento nanosecond raw tick historical data.
The OnixS directConnect: CME MDP Premium Market Data Handler SDK evaluation distributions includes a fast-start reference implementation Replay source code sample. This sample provides a quick and efficient method to get started using the Databento *.pcap files and usage with the Databento CME Globex MDP 3.0 Download samples.
For more technical information on the OnixS real-time network Feed Engine implementations support for the standard socket API, the SolarflareTM ultra-low latency ef_vi API on Linux, and the supported historical data Feed Engine implementations – refer to https://www.onixs.biz/cme-mdp-premium-market-data-handler.html
For more information you can download an evaluation distribution in order to get familiar with the usage of the OnixS directConnect: CME MDP Premium Market Data Handler SDK fast-start reference implementation Replay *.pcap source code sample.
