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Medium · systems · Quant Developer interview question · systems, networking, data structures, c++
Market data is frequently disseminated via UDP multicast, a protocol that prioritizes speed but does not guarantee packet ordering or delivery. In high-frequency trading systems, a robust feed handler is essential to reassemble these raw packet streams into a coherent sequence while managing gaps and duplicates to ensure downstream strategies receive accurate data. Task Implement a FeedHandler class to process a stream of incoming market data packets, each containing a sequence number and a pay