v1.0 to v1.0.0

---

name: exchange-multicast-feed-handling

description: Use when connecting to co-located exchange gateways (CME MDP 3.0, NASDAQ

MoldUDP64) to handle dual A/B UDP multicast channels, re-sequence out-of-order packets,

and issue TCP historical gap-fill re-transmission requests.

domain: algorithmic-trading

subdomain: real-time-architecture

tags:

- real-time-architecture

- udp-multicast

- cme-mdp

- moldudp64

- co-location

- packet-resequencing

- gap-fill

brokers_frameworks:

- Multicast Feed Handler

- Python Socket Engine

author: algo-trading-skills-contributors

license: Apache-2.0

---

## When to Use

Invoke this skill when operating co-located ultra-low-latency trading servers receiving raw UDP multicast feeds from derivative and equity exchanges (e.g., CME MDP 3.0 Channel A/B, NASDAQ MoldUDP64, Eurex ETI/EMDI). Unlike TCP/WebSockets, UDP multicast does not provide native delivery guarantees or re-transmission. This skill arbitrates between redundant Channel A and B multicast streams, re-sequences out-of-order packets, and requests missing sequence ranges from TCP historical re-transmission servers.

## Prerequisites

- Multicast IP groups and port numbers for Channel A and Channel B (e.g., `233.252.8.1:14001`).

- Exchange TCP historical re-transmission server endpoint.

## Workflow

1. **Bind Dual A/B Multicast Sockets**:

- Join UDP multicast groups for Channel A and Channel B.

2. **Deduplicate & Re-Sequence Packets**:

- Track expected sequence $S_{\text{expected}}$. If packet $S$ arrives on Channel A or Channel B, process immediately.

- Buffer future out-of-order packets ($S > S_{\text{expected}}$).

3. **Issue TCP Historical Re-Transmission Request**:

- If both Channel A and Channel B drop packet $S$ (sequence gap detected), send TCP gap request for missing range $[S_{\text{expected}}, S-1]$.

4. **Reconcile Gap & Drain Buffer**:

- Ingest re-transmitted TCP packets and drain buffered multicast frames in sequential order.

> Full procedure: see `references/workflows.md`.

> Standards reference: see `references/standards.md`.

> Printable pre-flight checklist: see `assets/checklist.md`.

## Common Pitfalls

- **Single Multicast Channel Dependency**: Reading only Channel A without joining Channel B, missing instantaneous packet recovery when Channel A drops a packet.

- **Unbounded Out-of-Order Buffer Growth**: Failing to cap the out-of-order packet queue during sustained network multicast drops.

- **Ignoring IGMP Group Joins**: Forgetting to issue IGMP `IP_ADD_MEMBERSHIP` socket options, preventing NIC hardware from receiving multicast traffic.

## Verification

- Simulate dual UDP Channel A/B packets (seq 100 on A, seq 101 on B) and verify seamless merged sequence stream.

- Simulate packet gap on both channels and verify TCP re-transmission request trigger.

- Run `python scripts/test_multicast_handler.py` and confirm 100% pass rate.

## Related Skills

- `binary-protocol-parsing-for-low-latency-feeds`

- `sequence-number-gap-detection-for-feeds`

---