StreamInsight: Bund/Bobl/Schatz Fly
For the last few weeks I’ve been attempting to write a strategy (bund/bobl/schatz fly) engine in StreamInsight. Adapters are the first item that needs to be decided. In the case of market data, probably the safest option is to TypedPointInputAdapter. The decision on the strategy adapter is a little harder as its probably not going to change that much, but you can assume that you’d want to trade many different variants of a strategy during the day. So I guess its TypedPointInputAdapter? However reading the MSDN docs on the three flavours of adapter, Strategy may come into interval model (a strategy is in play for a certain period during the trading day) or edge (a strategy is created and left open on the market).
Once the adapter model is chosen for the incoming feeds, we get to the guts of the problem….. defining the LINQ.
