Quote from MGB:
I'm really asking this question as a method of delivering original data.
I hear ya. I have developed a basic "ticker plant" server as a means of replaying historical data that has previously been stored - in that sense it is delivering " original" data on demand.
Clients connect via TCP/IP to this server and make requests or subscriptions for tickers much like you would connect to a real-time datafeed.
To build this server I used a basic "protocol server" toolkit called Apache Mina. It's java-based. There are arguably better alternatives available that I might migrate to e.g. Netty 3. Naturally, I also developed a basic protocol - this is actually the first step. I should stress it's very basic and a work in progress.
It can also send the messages to a JMS queue/topic so that a single subscription request can trigger a message stream that many clients can read. The idea of this is to facilitate parallel backtesting and optimization but there are other simpler use cases where you would want market data being fed to a queue/topic with multiple clients or "views" having access to that queue/topic.
ActiveMQ as the JMS provider has been OK for me thus far.
If you have insight into the protocols used for any commercial or open source data feeds and the client API then you can try to reverse-engineer what the server-side looks like. At least in terms of the API and the data format that the server produces.
If your server-side data feed is simply relaying real-time data from another data source with some augmentation/transformations e.g. converting NASDAQ ITCH -> Proprietary compressed data feed format, then that is potentially quite straight forward (in principle!)
You could look at ESB and related technologies such as Apache Camel, Apache ServiceMix or Codehaus Mule - I can't comment how these techologies fare in terms of latency and impacts on high-frequency data feeds etc. though.
Lots of options for a home-made solution. As long as you don't need hard-core redundancy/failover, super low latency, a basic set-up is quite achievable for hobbyists.
Good luck.
