1 \addtogroup market-data-handling
3 \brief Explains how the Handler processes market
4 data and exposes the results to the userspace.
6 \section processing-market-data Processing Market Data
8 High-level Handler's API allows to get rid of protocol details
9 and use directly high-level entities like security definitions,
10 trading information, and books. Advanced events are exposed by
11 the Handler to allow the users to build books by themselves using
12 atomic update information.
14 The Handler exposes an additional level of flexibility by providing the
15 ability to access network packets as the Handler captured them.
17 The OnixS::CME::MDH::MarketDataListener class represents a
18 collection of all market data processing events. An instance
19 of the listener can be associated with the Handler using the
20 OnixS::CME::MDH::Handler::registerMarketDataListener member.
22 The Handler notifies client code when it begins and accomplishes
23 processing of various logical parts of market data. The Handler calls
24 the OnixS::CME::MDH::MarketDataListener::onPacket member when it starts
25 processing of a received packet. The Handler invokes the
26 OnixS::CME::MDH::MarketDataListener::onEndOfPacket member
27 when it accomplishes processing of a received packet.
29 The Handler invokes similar callbacks when it
30 processes each message belonging to a received
33 \section packet-sequencing Market Data Processing Order
35 \note Packets transmitted over incremental feeds and passed
36 by the Handler to the listener members are previously verified
37 and checked for proper order.
39 Packets obtained from different feeds like snapshot and instrument
40 feeds have uncorrelated sequence numbers. Therefore, user code must
41 not rely on the fact packets are lined up into a single sequence.
