Subscribing to market data and decoding the market data protocol

The first component we need to build inside the market participants’ trading system is the market data consumer. This component is responsible for subscribing to the multicast stream of public market data updates published by the trading exchange. It needs to decode the market data stream generated by the exchange from the public MDPMarketUpdate format we discussed earlier. Because of the choice of the Simple Binary Encoding (SBE) protocol, the decoding step is straightforward in our application and does not involve any complicated stream decoding logic. Another important responsibility of this component is detecting packet drops on the incremental market data stream and providing mechanisms to recover and synchronize with the market data stream again. This mechanism is also required for trading systems that subscribe to the market data stream after there is a non-empty order book, i.e. after the trading exchange...