anybody know how to write a feed handler?

F

fareastcoast

This is actually a quite serious question. I've been doing algo trading with a couple partners for a few years now and we have done quite well. Now we are looking to move to the next level by connecting directly to the exchange feeds for even lower latency.

A commercial feed handler costs something like $25,000 minimum. I'm hesitant to spend the money because I probably will want to be able to customize all aspects of the feed handler. So, I prefer to roll my own. It shouldn't be TOO difficult since I'm only going to connect to CTS/CQS/UTP.

The problem I'm having is that to get access to the exchange multicasts, I have to first get the networking set up, colo a server, and pay the exchange fees. In total, this works out to about $6k/month.

I won't be doing this full time, so I suspect it'll take me 3-4 months before I have a feed handler ready for production use. Is there a way to simulate the exchange multi-cast and work on building the feed handler in a development environment without having to be colocated?
 
Get a TT XTRADER demo and say you want to test algo trading with their FIX handler. This will usually last 2 weeks unless your in good with an account rep / or go to your clearing house and they may give you a TT SIM for $100/mo for testing purposes

This way when your application puts up bids/asks you will see it in the XTRADER platform and can troubleshoot that way.


"So, I prefer to roll my own. It shouldn't be TOO difficult since I'm only going to connect to CTS/CQS/UTP."


This is insulting. If it's so easy why don't you do it? $25,000 for ULLDMA data handler is the norm.
 
I don't see how TT XTRADER has anything to do with the exchange market data multicast. I have FIX connectivity and trading platform set up already, I just need a way to receive a demo multicast from an environment that doesn't cost $6k/month to maintain.
 
99% sure zeromq (and prob rabbit mq) support multicast patterns and should be high performance enough to migrate to your real data, so you could simulate with those using fake or small data sets and then just switch out this part when you go colo.
 
Quote from fareastcoast:

I don't see how TT XTRADER has anything to do with the exchange market data multicast. I have FIX connectivity and trading platform set up already, I just need a way to receive a demo multicast from an environment that doesn't cost $6k/month to maintain.
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Because you still get all exchange messages without paying $6k a month
 
Is there some way to get say, a 5 minute message snapshot of CTS/CQS/UTP which I can then replay? The idea is to set up one server replaying the multicast using the snapshot while the development server parses the multicast.
 
Quote from fareastcoast:

Is there some way to get say, a 5 minute message snapshot of CTS/CQS/UTP which I can then replay? The idea is to set up one server replaying the multicast using the snapshot while the development server parses the multicast.
More...

DTN/NxCore. Will do what you want.
 
get DTN NxCore

They will give you 2 free weeks - it will give the ability to download data feed files and work with them by simulating real time for as long as you want

Then it will be from 1k to 1.5k per month depending on what you want.

If it is too expensive, you may try their DTN.IQ. But there you have to buy their developers package to be able to code the feed data.
 
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