What’s a good range of effort required to implement a feed handler?
a lot depends on a technology you are using and exchange you are connecting to.
Have you implemented feed handler before?
Do you want to come up with a generic framework you want to reuse with another exchange or do you want to have very specific implementation?
Is exchange using an interface you are familiar with or you will have to learn the protocol and specifics as you go?
is there a test connection you can play with during your implementation?
If you already have a framework in place for handling UDP price feeds and the new feed is similar to one you have done before, it could be as little as 3 days.
If you are starting from scratch and the price feed is an API that has awkward semantics, it could take a month, not counting the time to get network connectivity.
Hope to find someone that has written them before, but some exchanges will undoubtedly be initial efforts, learning the protocol on the way. I’m not sure how many will offer a sandbox connection. Yes, it should be as reusable as possible, so the subsequent feeds will hopefully be less work.
Is this for the startup in your profile? If so, why write your own feed handlers? You aren’t latency sensitive.
Just take the feeds from a vendor who normalizes everything for you. Feed handlers are a pain to write and a pain to maintain, especially once you have more than a couple.
No, it’s a new startup, though still not latency sensitive. Whose feed handlers are you using?
I write my own feed handlers because I am latency sensitive. But there are lots of vendors selling feed handlers, someone from SR Labs just sent me some info last week, or you could talk to the guys at www.tradingphysics.com
what exchanges do you need?
What data types (trades, book, OI, etc) do you need for your stratgies to work properly?
Are you interested in maintaining your own connections to the exchanges or you’d rather have single pipe that gets you all of the data you need normalized?
Starting from scratch, so only supporting simple trades in the early going, but eventually covering complex events involving multiple exchanges. Cost rules, so single pipe initially, shifting to individual exchange connections when we can manage the overhead.
In addition to companies has mentioned you can check us out as well at https://develop.cqg.com/fixfast/. This may allow you to get going quickly and efficiently while you are working your way up.
I didn’t realize that CQG had the offering that was mentioned, just glancing at it, it looks like that might be a good solution.
Unless you evolve into caring about latency, you may well find that a single pipe satisfies your needs effectively long-term.
You might take a look at the Open Market Data Initiative – some open source direct exchange feed handlers there –http://openmarketdata.org/. And also commercial offerings of course from likes of SR Labs, SpryWare, Volante. TS-Associates has a handler for Interactive Data’s consolidated feed. Tune into low-latency.com to keep current.
Also check out Object Trading (www.objecttrading.com) – we have developed an exchange connectivity software layer which normalises your connection to the exchange. Thus you write once to our interface (via FIX or our native API) and we’ll translate it to the relevant exchange – there’s also the “other stuff” in there such as pre-trade risk management and real-time drop copy to satisfy your clearer.
Our market coverage is primarily derivatives, where we cover all the Tier 1 and Tier 2 markets.. we’re also growing in equities
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