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Quantitative Finance · Glossary

What is Feed handler?

Definition 18.1 Low-Latency Software · Chapter 18 — The Feed Handler

A feed handler is the process that receives a venue’s market-data feed (One Quant Book 1, chapter 4) and turns it into the firm’s internal events: it reads the redundant lines, arbitrates them into one sequenced stream, detects and recovers lost messages, normalises each message into the firm’s own record (Book 1, chapter 28), and publishes the records to the components that build books and make decisions.

The build’s feed handler. Packets from both lines are merged by sequence number; a gap holds later messages and waits briefly for the other line, then asks the retransmission server, then falls back to the next snapshot; every message leaves as one fixed-size event on the firm’s ring. While a gap is open, the stale-book flag is up.
Figure 18.1. The build’s feed handler. Packets from both lines are merged by sequence number; a gap holds later messages and waits briefly for the other line, then asks the retransmission server, then falls back to the next snapshot; every message leaves as one fixed-size event on the firm’s ring. While a gap is open, the stale-book flag is up.
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