Jeff,
You may have already looked into this, but I wanted to highlight that you
can also develop and run strategies within photon (in this usage scenario,
the market data connection is shared). Depending on the specifics of your
strategy and workflow, this may be a worthwhile option to investigate.
Regards.
-----Original Message-----
From:
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DuPlantis
Sent: Sunday, February 15, 2009 3:06 PM
To:
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Cc:
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Subject: Re: [m-etc-dev] Design of Custom Market Datafeed
Jeff Sanpore wrote:
> I had a couple of questions related to creating my own market datafeed
> provider.
>
> First, a question about the existing Marketcetera feed. I understand that
> this feed is implemented as a Photon plug-in and as a module that can be
> started by a Strategy Agent. Since both Photon and the Strategy Agent
would
> run as separate processes this implies there are two instances on the
> Marketcetera feed and thus two separate FIX sessions to the Marketcetera
> feed server. Is that correct?
Yes, that's true. I think the normal use case, however, is that both
wouldn't be running at the same time.
> I can envision a use case where someone is using Photon to do manual
> trading, and using a strategy agent for automated trades at the same time,
> or simply is running multiple Strategy Agents. The problem I have is that
> the broker I want to get quotes from only allows one connection per user
id.
> I had thought of just reworking the existing Marketcetera feed to my
needs.
> But that design would still have two (or more) connections to the broker,
> which won't work for my use case.
This restriction is not unusual. Some providers allow multiple
connections from the same machine with the same credentials, but most do
not. While the scenario you describe is not unreasonable, it may be
difficult to get two connections working simultaneously.
> So I've been thinking of a Feed Server design that would centralize feed
> requests from Photon and multiple strategy agents. The Feed Server would
> look like a FIX 4.4 server to Photon and Strategy Agents. This would make
it
> easy to simply point the Marketcetera feed to the Feed Server instead of
> Marketcetera. The Feed Server would appear as a single connection client
to
> the broker, essentially acting as a gateway to consolidate feed requests
and
> broadcast quotes to subscribers.
This seems like a reasonable solution, effectively, your Feed Server
would act as a proxy that could serve several different clients at once.
Be aware, however, that providers are typically very touchy about any
design that allows their data to be, or even have the appearance of
being, redistributed. While it may be technically feasible to
implement, doing so may be a violation of your service agreement with
the provider. Do check your license agreement before proceeding.
Let me know how you make out.
- Colin
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