#### Feature Issue #3: Market Data Integration

[drzo]

Feature Issue #3: Market Data Integration

Priority: High
Estimated Effort: 4-5 weeks
Dependencies: Network infrastructure

Description: Build a comprehensive market data ingestion and processing system capable of handling real-time feeds from multiple sources with ultra-low latency.

Actionable Tasks:

• Task 3.1: Real-time Data Ingestion

  • Implement FIX protocol support for trading venues
  • Add WebSocket and REST API clients for market data
  • Create data normalization layer for multiple exchanges
  • Implement hardware timestamping for latency measurement
  • Deliverable: Data ingestion supporting 1M+ ticks/second
  • Testing: Data accuracy validation across multiple feeds
  • Validation: Latency measurement: <10μs from network to processing

• Task 3.2: Historical Data Management

  • Build time-series database integration (InfluxDB, TimescaleDB)
  • Implement data compression and archival strategies
  • Add historical data replay for backtesting
  • Create data quality validation and cleansing
  • Deliverable: Historical database with 10+ years of data
  • Testing: Data integrity checks and recovery tests
  • Validation: Query performance: <100ms for complex historical queries

• Task 3.3: Market Data Cache & Distribution

  • Implement distributed cache system (Redis Cluster)
  • Add pub/sub system for real-time data distribution
  • Create market data snapshots and recovery
  • Implement data entitlement and access controls
  • Deliverable: Cache system with 99.9% availability
  • Testing: Cache consistency and failover tests
  • Validation: Support 1000+ concurrent subscribers