Helix

Helix is an ultra low-latency market data feed handler written in C++. It provides an API to trading applications that normalizes market data updates from multiple feeds.

Helix core does not include networking functionality and expects applications to provide raw packet data.

Building

Helix requires libuv 1.0 or later. If you build it from sources, you need to tell pkg-config where to find the configuration files:

export PKG_CONFIG_PATH=/usr/local/lib/pkgconfig/

Features

Core

• C++ API
• C binding
• Order book view
• Data normalization
• Data filtering
• Order book aggregation
• Synthetic NBBO
• Retransmission requests

Protocols

• NASDAQ OMX Nordic
  • Equity Total-View ITCH
  • MoldUDP
  • SoupFILE

License

Copyright © 2015 Pekka Enberg

Helix is distributed under the 2-clause BSD license. See LICENSE for the full license text.