RTS feed for Internet clients #Mark #50%

Q: Based on the RTS market data dissemination system, what if some clients subscribe by a slow Internet connection and your orderbook (TCP) feed need to provide delta updates each time a client reconnects?

Default solution: similar to FIX/TCP .. sender to maintain per-client state. Kenny of Trecquant said his trading app can be extremely simple if exchange maintains state. I won’t elaborate. Here is my own Solution.

Note on terminology — in multicast there’s no TCP-style “server” . Instead, there’s a sender engine for many receiver clients.

Suppose we have too many clients. To minimize per-client state management, my engine would simply multicast to all clients real time updates + periodic snapshots.

A client AA can request a snapshot on any symbol group, and I will immediately multicast the snapshots on a refresh channel. If client BB never requests anything, BB can ignore the refresh multicast channel.

Request quota — each client like AA can request X free snapshots a day. Beyond that, AA’s requests would be regulated like

  • levied a fee
  • queued with lower priority

It’s feasible to replace the refresh multicast group with an unicast UDP channel per client, but to me the multicast-refresh solution offers clear advantages without major drawbacks.

  1. if there is an outage affecting two clients, each would request the same snapshots, creating unnecessary work on the engine. The request quota would incentivize each client to monitor the refresh group and avoid sending the same request as someone else
  2. multicast can be valuable to clients who like more frequent snapshots than the periodic.
  3. My operations team can also utilize this refresh channel to broadcast unsolicited (FreeOfCharge) snapshots. For this task, I would avoid using the publisher channel as it can be busy sending real time updates. We don’t want to interleave real time and snapshot messages.
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