README.md

Market Data Tools

Three small, self-contained C++26 programs, each a standalone exercise in a piece of market-data plumbing: deduplicating/filtering a trade batch, resequencing a redundant UDP feed pair, and detecting which quotes in a snapshot actually changed. Each lives in its own .cpp file with a main() driving a few hardcoded scenarios — there's no shared library or CLI argument parsing between them.

Building

Requires a C++26 compiler — GCC 14+ or Clang 17+ on Linux, or Xcode with Apple Clang 16+ on macOS — and CMake 3.20+.

mkdir -p build && cd build
cmake .. -DCMAKE_BUILD_TYPE=Release
make -j

Running

./build/trade_id_filter
./build/udp_feed_merger
./build/quote_change_detector

Each prints its scenario's output directly to stdout; there's no input file or argument parsing to configure.

trade_id_filter

Filters a batch of Trade records down to the ones matching a set of ids, returning pointers into the source vector rather than copies since each Trade carries an 8KB payload.

udp_feed_merger

Merges two redundant, sequence-numbered UDP feeds (A and B) into a single gap-free, strictly ordered stream. Out-of-order and duplicate packets across either feed are buffered in a fixed-capacity ring and released in sequence once the gap closes. See docs/udp-feed-merger-anatomy.html for a walkthrough of the buffering logic.

quote_change_detector

Marks each quote in a snapshot as ShouldPublish when its price has changed since the last snapshot seen at the same size, using a size-keyed map of the last published price.

Project layout

src/    the three tools, one file each
docs/   supporting write-ups