Explore our open-source contributions to the trading and financial technology community.
The question isn't whether you can connect actors across languages—ZeroMQ, gRPC, and shared memory all work. The question is whether you can do it fast enough that the language boundary becomes invisible.
If you've ever wondered how trading systems send orders to exchanges—placing limit orders, cancelling positions, modifying prices—at speeds measured in microseconds, this post is for you. We're open-sourcing a FIX order routing client written in C++ that achieves 3.5 microsecond latency for sending new orders when compiled with C++17.
This client is tested with Trading Technologies (TT) FIX gateway and with minor modifications works with CQG gateway as well. Through these gateways, you can route orders to virtually any major exchange worldwide.
If you've ever wondered how trading systems receive real-time market data—price updates, trades, order book changes—at speeds measured in microseconds, this post is for you. We're open-sourcing a CME MDP3.0 market data feed handler written in C++ that achieves sub-microsecond latency from packet receipt to application callback.
This handler is certified on CME AutoCert for futures, and with minor modifications works for spreads, options, BTEC, and EBS products.