Imported from previous forum
Quick question with regards to copy/delta operators on a market data feed. If I understand correctly, the dictionaries can only operate at the message level, so if you get a stream of market data updates on different symbols they wouldn’t be compressed particularly well.
Heres an example:
seqno=1 symbol=IBM bid=149 offer=150
seqno=2 symbol=MSFT bid=28 offer=29
seqno=3 symbol=IBM bid=149.5 offer=150
seqno=4 symbol=MSFT bid=28 offer=29.5
In this example, message #4 would compare the bid/offer values to those from message #3. In fact, you’d logically want to compare them to the last update on the same symbol (message #2).
Can FAST use the feedcode information to cache these values? Or am I missing something with the way this is supposed to work?
thanks
Steve
The design of your streams and the related templates is crucial to the benefits FAST will give you. For example, you could send the data below over two separate streams with a single template or over a single stream with separate templates. There is no restriction to only have a single FAST template per (FIX) message type. With more than one template you have more than one cache and in the example below, a new bid/offer for MSFT will not override the current cache values for IBM. The limit is your UDP datagram in case of multicast being used. If you had 1000 symbols and 1000 templates, the benefit goes down the drain as each symbol might not be present more than once in every datagram.
The design of streams and templates requires thorough anaylsis of your data patterns to maximize bandwidth reduction.
Regards,
Hanno.
Quick question with regards to copy/delta operators on a market data feed. If I understand correctly, the dictionaries can only operate at the message level, so if you get a stream of market data updates on different symbols they wouldn’t be compressed particularly well.
Heres an example:
seqno=1 symbol=IBM bid=149 offer=150
seqno=2 symbol=MSFT bid=28 offer=29
seqno=3 symbol=IBM bid=149.5 offer=150
seqno=4 symbol=MSFT bid=28 offer=29.5In this example, message #4 would compare the bid/offer values to those from message #3. In fact, you’d logically want to compare them to the last update on the same symbol (message #2).
Can FAST use the feedcode information to cache these values? Or am I missing something with the way this is supposed to work?
thanks
Steve