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.

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/

To build Helix:

cmake .
make

To install Helix:

make install

Please note that Helix generates a pkg-config file so you can use pkg-config to integrate Helix with your project build system.

To convert a NASDAQ TotaView-ITCH 5.0 file to CSV:

./helix-trace -i 07302015.NASDAQ_ITCH50 -s AAPL -c nasdaq-binaryfile-itch50 -f csv -o AAPL.csv

Please note that Helix only works with uncompressed files.

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

• NASDAQ
  • NASDAQ TotalView-ITCH 5.0
  • Nordic Equity TotalView-ITCH 1.90.2
  • MoldUDP
  • BinaryFILE
  • SoupFILE

Copyright © 2015 Pekka Enberg

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