Connecting to the exchange and sending and receiving order flow

The order gateway client component in the market participant’s trading infrastructure receives order requests from the trading engine through a lock-free queue and sends order responses back to the trading engine through another lock-free queue. It also establishes a TCP connection to the order gateway server in the exchange side infrastructure. It encodes order requests in the exchange’s order format and sends them over the TCP connection. It also consumes order responses sent by the exchange over that TCP connection and decodes them from the order data format. We present the order gateway client diagram again to refresh your memory on that component’s design.

Figure 8.4 – Diagram presenting the order gateway client component inside the client’s trading infrastructure

We will start the implementation of this order gateway client component by defining the...