Add support for LULD Auction Collar message.

chronoxor / CppTrader

High performance components for building Trading Platform such as ultra fast matching engine, order book processor

MIT License

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Add support for LULD Auction Collar message. #9

Closed dingobye closed 5 years ago

dingobye commented 5 years ago

This is a great project to study high performance trading!

When trying this platform with some recent data feed (e.g., 07302019.NASDAQ_ITCH50), it reports unknown messages contributing to Errors count, which is annoying. It turns out to be LULD Auction Collar message introduced to Nasdaq's market data feed specification in late 2017.

This patch adds support to handle such message.

chronoxor commented 5 years ago

Thanks for PR! Merged