mkt-data subscription engine java IV #barc eq drv

Say you have market data feeds from Reuters, Wombat, Bloomberg, eSpeed, BrokerTec, ION… Data covers some 4000 underliers and about half a million derivative instruments on these underliers. For each instrument, there can be new bid/offer/trade ticks at any millisecond mark[1]. Volume is similar to option data feed like OPRA.

Say you have institutional clients (in additional to in-house systems) who register to receive IBM ticks when a combination of conditions occur, like “when bid/ask spread reaches X, and when some other pricing pattern occurs”. There are other conditions like “send me the 11am IBM snapshot best bid/ask”, but let’s put those aside. For each of the instruments, there are probably a few combination of conditions, but each client could have a different target value for a condition — 2% for u, 2.5% for me. Assuming just 10 combination for each instrument, we have 5 million combination to monitor. To fulfill clients, we must continuously evaluate these conditions. CEP and Gemfire continuous query have this functionality.

I proposed a heavily multi-threaded architecture. Each thread is event-driven (primary event) and wakes up to reevaluate a bunch of conditions and generate secondary events to be sent out. It can drop the new 2ndary event into a queue so as to quickly return. The “consumer” can pick up the 2ndary events and send out by multicast.

Each market data vendor (Reuters, e-speed, ION, even tibrv) provides a “client-runtime” in the form of a jar or DLL. You embed the client-runtime into your VM, and it may create private threads dedicated to communicating with the remote publisher.

[1] Each IBM tick actually has about 10 fields, but each IBM update from vendor only contains 2 fields if the other field the symbol didn’t change. So we need something like Gemfire to reconstruct the entire 10-field object.

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