ITCH Order Book

Low-latency NASDAQ ITCH 5.0 market data pipeline built in C++26. Replays binary feed files through a lock-free SPMC ring buffer into per-symbol order books. Reconstructed L2 price-level depth.

Architecture

FileSource (mmap) → FeedHandler → SPMCRingBuffer → MarketDataHandler × N
                                                         ↓
                                               OpenAddressMap (order records)
                                                         ↓
                                               LimitedDepthOrderBook (top 10 levels)

• Feed: memory-mapped file source, dispatch via SPMC disruptor
• Queue: lock-free single-producer multi-consumer ring buffer, cache-line aligned control blocks
• Deserializer: reflection-based zero-copy ITCH message parser (stse), skips ignored fields at compile time
• Order tracking: open-addressing hash map keyed by order reference number
• Order book: bounded sorted array (top 10 price levels per side), contiguous in memory

Build

# optimised release
make release

# w/ latency instrumentation
make instrumented

# sanitizers
make asan
make ubsan
make tsan

Run

make run_release ARGS=path/to/12302019.NASDAQ_ITCH50
make run_instrumented ARGS=path/to/12302019.NASDAQ_ITCH50

Performance (TSLA, 527k messages)

Metric	p50	p99	p99.9
Market event	320ns	1.5µs	4.0µs
Order book insert	20ns	80ns	420ns
Order book remove	20ns	70ns	270ns
OAM lookup	230ns	960ns	1.6µs

Requirements

• GCC 16+ (C++26, P2996 reflection)
• Linux (epoll, mmap, pthread affinity)
• NASDAQ TotalView-ITCH 5.0 binary feed file