Market Data Feed Handler: ITCH & Order Book (2026)
A 2026 systems deep-dive on building a low-latency market data feed handler: ITCH parsing, order book reconstruction, normalization, and failure modes.
Limit Order Book Reconstruction from ITCH: Systems Architecture (2026)
Limit order book reconstruction from NASDAQ ITCH feeds — message types, snapshot vs delta, lock-free L3 book in C++/Rust, and a 2026 reference architecture.
Designing a Low-Latency Market Data Feed Handler: Engineering Guide
Feed handler engineering — kernel bypass, lock-free ring buffers, A/B arbitration, timestamp sync, and the bad-design smells to avoid.