Projects » Market feed transformation

The company which has ordered given development received market price on the subscription basis.
Transfer protocol used by the remote side already morally obsolete very for a long time ago.
It represented binary data flow and inquiries about upgrade needed to be initiated independently.
It is not so convenient and is linked to costs in case it is necessary to duplicate the data on other servers.

Our engineers has a task to develop application co-operating with a source of the market prices data feed on the one hand and with another — allowing to give to listeners/subscribers of the prices on delta model(sending goes only in case of change) under standard protocol.

As the result has been created application consisting of several independent and nevertheless co-operating with the each other components.
Thread with high priority fulfilled connection with original market feed and spent reading.
Results were held in in memory cache.
When changes was detected data was transferred for the subsequent processing to a component, responsible multicasting.
Given component represented simplified FIX server making dispatch of upgrades of the prices to all subscribers (using message MarketDataFullRefresh).
All data was transferred on the encrypted protected channel.

Given application has allowed to simplify considerably data transfer on other hosts, usage of FIX protocol has facilitated further development.
We considered data transfer in FAST, however within the limits of the given task the quantity of the transferred data was not so high the same as also number of subscribers (~ 10).