Tick By Tick Market Data Simulator via UDP broadcast
A synthetic market data generator that produces tick-by-tick (TBT) exchange messages and broadcasts them over UDP.
The simulator models common exchange events (trades, orders, cancellations) using configurable probability distributions and packs multiple binary messages into MTU-friendly UDP payloads.
This is the producer side of a market data pipeline, useful for testing feed handlers, UDP ingestion systems, and packet capture workflows.
Note that this does not produce rational data. It just obeys the serialized protocol, meant for testing packet ingestion and parsing performance.
- Synthetic market event generation
- Configurable probability distribution of message types
- UDP broadcast transmission
- MTU-aware packet batching (~1400 bytes)
- Binary packed protocol format
- Network byte-order conversion
- Instrument master table integration (CSV)
- Deterministic RNG for reproducibility
- Continuous sequence numbers and timestamps
The simulator generates the following events:
- Trade
- New Order
- Order Modify
- Order Cancel
- Trade Cancel