b2bits::nasdaq::itch50::Session Class Reference

ITCH 5.0 Market Data Session. More...

Detailed Description

ITCH 5.0 Market Data Session.

This class implements a complete ITCH 5.0 market data feed handler, providing:

• Real-time market data processing via MoldUDP64 multicast
• Snapshot recovery via SoupBinTCP
• Order book management (aggregated or order-level)
• Instrument filtering and lifecycle management
• Gap detection and automatic recovery
• Event-driven listener notifications

The Session maintains a collection of Instrument objects representing tracked order books. It processes incoming ITCH messages, updates the order books accordingly, and notifies registered listeners of events.

Note

This class is thread-safe when used with a single IO context

Listeners are called synchronously on the IO thread

See also

Instrument

SessionHandlers

moldudp64::Session

Example:

Basic session usage

b2bits::nasdaq::itch50::Settings settings;
settings.ss_settings_.remote_a_.ip_ = "127.0.0.1";
settings.ss_settings_.remote_a_.port_ = 65023;
settings.market_depth_ = 10;
settings.aggregated_mode_ = true;
 
auto session = std::make_shared<b2bits::nasdaq::itch50::Session>(settings);
 
session->attach_listener([](auto&&... args) {
    // Handle market data events
});
 
session->start();
session->run(); // Blocking call

#include <nasdaq/itch50/Session.h>

Inheritance diagram for b2bits::nasdaq::itch50::Session:

Classes
class	EOP
	End-of-packet marker type. More...

Public Types
using	Timestamp = BookTraits::Timestamp
	Timestamp type for book updates (nanoseconds since epoch).
using	ListenerType
	Listener delegate type.
Public Types inherited from b2bits::nasdaq::moldudp64::Session
enum class	State { InSync , Recovering , OutOfSync }
	Session synchronization state. More...
enum class	Source { Realtime , Snapshot , Cache }
	Message source indicator. More...
enum class	Event {   LinkUp , LinkDown , EndOfSession , RecoveryStarted ,   RecoveryStopped , RecoveryFailed , SecdefsAvailable }
	Session lifecycle and recovery events. More...
using	error_code = std::error_code
	Error code type alias.
using	Seqnum = decltype(std::declval<UDPPacket>().get_sn())
	Sequence number type.

Public Member Functions
	Session (Settings s)
	Construct a new ITCH 5.0 Session.
	~Session ()
	Destructor.
bool	aggregated_mode () const
	Check if session is in aggregated mode.
template<typename Handler>
void	attach_listener (Handler &&h)
	Attach a listener for market data events.
void	detach_listener ()
	Detach the current listener.
void	add_instrument (const OrderbookDirectory *info, std::any &&cookie=std::any{})
	Manually add an instrument to track.
const std::unordered_map< OrderbookID, std::unique_ptr< Instrument > > &	get_instruments () const noexcept
	Get all tracked instruments.
void	operator() (Instrument *, Seqnum sn, const AddOrder *)
	Handle add order update for an instrument.
template<class T>
void	operator() (Instrument *, Seqnum sn, const T *, const Instrument::Order *)
	Handle generic order update (executed, cancel, replace).
void	operator() (Instrument *, Timestamp timestamp, const Instrument::BookLevelUpdate &update)
	Handle aggregated book level update.
Public Member Functions inherited from b2bits::nasdaq::moldudp64::Session
	Session (std::shared_ptr< b2bits::IOContext > ctx, Settings s, const char *log_pfx=nullptr)
	Construct a MoldUDP64 session.
	~Session ()
	Destructor.
bool	is_started () const
	Check if session is started.
State	get_state () const
	Get current session state.
const std::string &	get_session () const
	Get active MoldUDP64 session name.
std::int64_t	get_msg_recv_time () const
	Get timestamp of last received message.
auto	get_packet_recv_time ()
	Get timestamp of last received packet.
void	start ()
	Start the session.
void	run ()
	Run the session (blocking).
void	stop ()
	Stop the session (synchronous).
template<typename Handler>
void	async_stop (Handler &&h)
	Stop the session asynchronously.
void	pause_udp ()
	Pause UDP multicast reception.
void	resume_udp ()
	Resume UDP multicast reception.
void	operator() (Sequencer &, std::uint64_t sn, std::int64_t timestamp, const MessageBlock *h)
	Handle in-sequence message from sequencer.
void	operator() (Sequencer &, Sequencer::ResetEvent)
	Handle sequencer reset event.
void	operator() (Sequencer &, Sequencer::ReplayEvent)
	Handle sequencer replay event.

Additional Inherited Members
Protected Member Functions inherited from b2bits::nasdaq::moldudp64::Session
std::shared_ptr< b2bits::AsyncSentry >	get_sentry ()
	Get the async operation sentry.
void	set_session (const std::string &s)
	Set the active session name.
void	set_msg_recv_time (std::int64_t val)
	Set the message receive timestamp.
void	on_recovery_finished (Seqnum next_sn, const error_code &ec)
	Notify recovery completion.
Protected Attributes inherited from b2bits::nasdaq::moldudp64::Session
const std::string	log_prefix_
	Prefix for log messages.
const Settings	settings_
	Session configuration.
const std::int32_t	id_
	Session identifier.
std::string	active_session_
	Current MoldUDP64 session name.
bool	link_is_up_ = true
	Multicast link status.
std::int64_t	msg_recv_time_ = 0
	Timestamp of last received message.
std::shared_ptr< b2bits::IOContext >	ctx_
	IO context for async operations.

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Class Documentation

b2bits::nasdaq::itch50::Session::EOP

class b2bits::nasdaq::itch50::Session::EOP

End-of-packet marker type.

Used as a sentinel value in listener callbacks to indicate the end of a MoldUDP64 packet.

Member Typedef Documentation

ListenerType

using b2bits::nasdaq::itch50::Session::ListenerType

Initial value:

Delegate<
   void(Session*, const Instrument*, Seqnum, const SystemEvent*),
   void(Session*, const Instrument*, Seqnum, const OrderBookState*),
   void(Session*, const Instrument*, Seqnum, const OrderbookDirectory*),
   void(Session*, const Instrument*, Seqnum, const AddOrder*),
   void(Session*, const Instrument*, Seqnum, const OrderExecuted*, const Instrument::Order*),
   void(Session*, const Instrument*, Seqnum, const OrderExecutedWithPrice*, const Instrument::Order*),
   void(Session*, const Instrument*, Seqnum, const OrderCancelMessage*, const Instrument::Order*),
   void(Session*, const Instrument*, Seqnum, const OrderReplace*, const Instrument::Order*),  
   void(Session*, const Instrument*, Seqnum, const Trade*),
   void(Session*, const Instrument*, Seqnum, const ExecutionDone*),
   void(Session*, const Instrument*, Seqnum, const Information*),
   void(Session*, const Instrument*, Seqnum, const BrokenTrade*),
   void(Session*, const Instrument*, Timestamp timestamp, const Instrument::BookLevelUpdate&),
   void(Session*, EOP),
   void(Session*, Seqnum, const OrderbookDirectory*),
   void(Session*, Event)>

Listener delegate type.

Multi-signature delegate supporting all ITCH 5.0 market data events. Listeners receive callbacks for orders, trades, book updates, and session lifecycle events.

See also

SessionHandlers for a fluent interface wrapper

Timestamp

using b2bits::nasdaq::itch50::Session::Timestamp = BookTraits::Timestamp

Timestamp type for book updates (nanoseconds since epoch).

Constructor & Destructor Documentation

Session()

b2bits::nasdaq::itch50::Session::Session

(

Settings

s

)

Construct a new ITCH 5.0 Session.

Initializes the session with the provided settings, including network configuration, order book depth, and recovery parameters.

Parameters

s	Complete session settings (ITCH + MoldUDP64)

Exceptions

std::runtime_error

if initialization fails

~Session()

b2bits::nasdaq::itch50::Session::~Session

(

)

Destructor.

Ensures proper cleanup of resources and termination of the session. If the session is still running, it will be stopped before destruction.

Member Function Documentation

add_instrument()

void b2bits::nasdaq::itch50::Session::add_instrument	(	const OrderbookDirectory *	info,
		std::any &&	cookie = std::any{} )

Manually add an instrument to track.

Creates a new Instrument object for the given directory information. The instrument will be tracked and maintained by the session, receiving updates from incoming market data messages.

Parameters

info	Orderbook directory message containing instrument definition
cookie	Optional user-defined data to associate with the instrument

Note

Instruments can also be added automatically based on directory messages

aggregated_mode()

bool b2bits::nasdaq::itch50::Session::aggregated_mode

(

)

const

Check if session is in aggregated mode.

Returns

true if order book aggregation is enabled

false if maintaining order-level detail

attach_listener()

template<typename Handler>

void b2bits::nasdaq::itch50::Session::attach_listener ( Handler && h )

inline

Attach a listener for market data events.

Registers a callback handler that will be invoked for all market data events. The handler must be compatible with the ListenerType delegate signature (supports multiple overloads for different event types).

Template Parameters

Handler

Type of the handler (typically a lambda or SessionHandlers)

Parameters

h	Handler to attach (perfect-forwarded)

Note

Only one listener can be attached at a time

The handler is called synchronously on the IO thread

See also

SessionHandlers for a convenient fluent interface

detach_listener()

void b2bits::nasdaq::itch50::Session::detach_listener ( )

inline

Detach the current listener.

Removes the currently attached listener. After this call, no events will be delivered until a new listener is attached.

get_instruments()

const std::unordered_map< OrderbookID, std::unique_ptr< Instrument > > & b2bits::nasdaq::itch50::Session::get_instruments ( ) const

noexcept

Get all tracked instruments.

Returns a read-only reference to the map of all instruments currently being tracked by this session.

Returns

const reference to map of OrderbookID -> Instrument

Note

The map is keyed by OrderbookID (NASDAQ instrument identifier)

operator()() [1/3]

void b2bits::nasdaq::itch50::Session::operator()	(	Instrument *	,
		Seqnum	sn,
		const AddOrder *	)

Handle add order update for an instrument.

Parameters

inst	Target instrument
sn	Sequence number
msg	Add order message

operator()() [2/3]

template<class T>

void b2bits::nasdaq::itch50::Session::operator()	(	Instrument *	,
		Seqnum	sn,
		const T *	,
		const Instrument::Order *	)

Handle generic order update (executed, cancel, replace).

Template Parameters

T	Message type (OrderExecuted, OrderCancel, etc.)

Parameters

inst	Target instrument
sn	Sequence number
msg	Order message
order	Current order state

operator()() [3/3]

void b2bits::nasdaq::itch50::Session::operator()	(	Instrument *	,
		Timestamp	timestamp,
		const Instrument::BookLevelUpdate &	update )

Handle aggregated book level update.

Parameters

inst	Target instrument
timestamp	Event timestamp
update	Book level update data

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The documentation for this class was generated from the following file:

• nasdaq/itch50/Session.h