lofeed

lofeed is a high-throughput NASDAQ TotalView-ITCH parser and passive book replica.

It parses historical ITCH binary data, normalizes raw wire messages into internal MarketEvents, and replays those events into a local order-book replica. It is not a matching engine; it reconstructs exchange-published book state.

Build

cmake -S . -B build && cmake --build build

Run

Place an uncompressed ITCH file under data/, then run:

./build/lofeed data/20190730.BX_ITCH_50

The program prints message counts, checksum/statistics, anomaly counts, and final live-order count.

Benchmarks

Median benchmark script:

scripts/bench_median.sh build/lofeed

Comparison targets:

scripts/bench_median.sh build/baseline   # std::ifstream parser
scripts/bench_median.sh build/read_all   # full-file read + pointer walk
scripts/bench_median.sh build/lofeed     # mmap + normalize + apply state

Writeup

See WRITEUP.md for design notes, measurements, and lessons learned.