It is not "our" protocol, it is protocol designed by exchange and we need to support it, as we can not change it :).
Simple binary messages, with binary encoded numbers, etc. No string parsing, no syntax, nothing like this, only bytes and offsets. Think about TCP header, for example.
JSON is very inefficient both in bytes (32 bit price is 4 bytes in binary and could be 7+ bytes as string, think "1299.99" for example) and CPU: to parse "1299.99" you need burn a lot of cycles, and if it is number of cents stored as native 4-byte number you need 3 shifts and 4 binary ors at most, if you need to change endianness, and in most cases it is simple memory copy of 4 bytes, 1-2 CPU cycle.
When you have binary protocol, you could skip fields which you are not interested in as simple as "offset = offset + <filed-size>" (where <filed-size> is compile-time constant!) and in JSON you need to parse whole thing anyway.
Difference between converting binary packet to internal data structure and parsing JSON with same data to same structure could be ten-fold easily, and you need to be very creative to parse JSON without additional memory allocations (it is possible, but code becomes very dirty and fragile), and memory allocation and/or deallocation costs a lot, both in GC languages and languages with manual memory management.