Exchange Decoder

Implementing a low-latency NSE market data decoder in C++

This hard coding problem tests your ability to parse a real-world financial protocol—the NSE NNF (NEAT National Exchange for Futures and Options) specification—under strict performance and correctness requirements. It is representative of work at high-frequency trading firms that consume exchange feeds directly.

The challenge requires you to decode trade messages from a binary packet stream, extract typed fields (order IDs, prices, quantities, timestamps) according to the protocol specification, and handle three real-world conditions: out-of-order packet arrival, missing packets, and non-trade messages mixed into the stream. You must distinguish trade updates (message type 'T') from other message types and only output valid trades in the correct format.

• Binary protocol parsing and byte-order handling
• State machine design for packet buffering and sequencing
• Fixed-width field extraction and type conversion
• Handling incomplete or out-of-order data streams
• Low-latency output formatting without dynamic allocation

Strong solutions focus on correct field offsets and sizes from the protocol document, efficient bit manipulation, and robust handling of edge cases (truncated packets, missing sequence numbers, mixed message types). Interviewers will probe how you validate packet integrity and how your implementation scales under high message rates.