itch-mold-replay

imr (Nasdaq TotalView-Itch MoldUDP64 Replay) is a C++23 library that replays TotalView-ITCH 5.0 files over MoldUDP64.

File format

This library works with files containing TotalView-ITCH 5.0 messages, each prefixed by a 16-bit big-endian value giving the length of the message that follows. This is the format used by official distribution sources such as emi.nasdaq.com.

Requirements

• Linux
• g++ or clang++ version that supports C++23
• CMake >= 3.25

Usage

Add to executable with CMake

As a subdirectory:

add_subdirectory(nasdaq-moldudp64-feed-sim)
target_link_libraries(your_target PRIVATE imr::imr)

Or via FetchContent:

include(FetchContent)
FetchContent_Declare(imr GIT_REPOSITORY <repo-url> GIT_TAG <tag>)
FetchContent_MakeAvailable(imr)
target_link_libraries(your_target PRIVATE imr::imr)

Example

Link against imr::imr and include imr/server.h.

#include "imr/server.h"
 
imr::Server::Config cfg{
    .mapped_itch_file_cfg = {
        .path = "FILE.NADSAQ_ITCH50",
    },
    .packet_builder_cfg = {
        .session = "123456789",
    },
    .downstream_feed_config = {
        .mcast_group = "239.0.0.1",
        .port = 3400,
    },
    .retransmission_feed_config = {
        .address = "127.0.0.1",
        .port = 3500,
    },
};
 
// Option 1: exceptions
try
{
    imr::Server server(cfg);
    server.start();
    server.wait_for_downstream();
}
catch (const std::exception& ex)
{
    std::println("{}", ex.what());
}
 
// Option 2: std::expected 
const std::expected res{imr::make_server(cfg)};
if (!res.has_value())
{
    std::println(stderr, "{}", res.error());
}

See documentation for the full set of config options on each struct.

Log level

Set at configure time via -DIMR_LOG_LEVEL=N, compiled in as a preprocessor definition.

• 0=error
• 1=warn
• 2=info
• 3=debug

Levels above configured are compiled out (default 0).

Complimentary tools

<a href="https://man7.org/linux/man-pages/man8/tc-netem.8.html" ><tt>tc</tt></a>

Use the netem qdisc to inject artificial packet loss, delay, and reordering

Run the server and client on either side of the impaired link and confirm your client detects gaps and recovers via the retransmission feed.

Wireshark

Has built in dissectors for MoldUDP64 + TotalView-ITCH 5.0.

Building standalone

Build options (CMake top level)

Option	Default	Description
BUILD_UNIT_TESTS	OFF	Build unit tests
BUILD_INTEGRATION_TESTS	OFF	Build integration tests
BUILD_E2E_TESTS	OFF	Build end-to-end tests
ENABLE_ASAN	OFF	Build with AddressSanitizer + UBSan
ENABLE_TSAN	OFF	Build with ThreadSanitizer (mutually exclusive with ASan)
DEBUG_NO_NETWORK	OFF	Disable network calls
DEBUG_NO_SLEEP	OFF	Disable sleep calls

Example, building with unit tests and ASan:

$ cmake -B build -DBUILD_UNIT_TESTS=ON -DENABLE_ASAN=ON
$ cmake --build build
$ ctest --test-dir build

There are CMake presets:

$ cmake --list-presets
 
Available configure presets:
 
  "debug-gcc"     - Debug (GCC)
  "debug-clang"   - Debug (Clang)
  "release-gcc"   - Release (GCC)
  "release-clang" - Release (Clang)
  "asan-gcc"      - ASan (GCC)
  "asan-clang"    - ASan (Clang)
  "tsan-gcc"      - TSan (GCC)
  "tsan-clang"    - TSan (Clang)

License

MIT — see LICENSE for details.