StreamInsight: Strategy Pricer Update
It’s been a while since I blogged on StreamInsight. This has mainly been due to Rx thoughts and agile pains 
Anyway, over the last few weekends I’ve managed to move the Strategy Pricer I’m writing in StreamInsight forwards from what was an unworkable Proof Of Concept (POC) to something that is probably 80%+ workable in the real world of finance. Here are some notes on where I’ve got too:
- The StreamInsight time stamp modification API is too restricted in my view (or at least for my current design). Assume you have an edge event, which has a StartDate but no EndDate set. You don’t appear to be able to update the EndDate other than using AlterEventDuration, which will alter all events in the stream.
- Because of the above I’ve moved to be holding more state in memory than I’d want using user-defined functions (UDFs) which I’d prefer not to do
- Obviously the fact that I have no EndDate on an edge event mean that I never get the EventWaitHandle signaled with TextFileOutput adapter.
- Below are the two concurrent queries that are being run. The Open query generates Fill orders when a strategy comes into play. The Cancel query looks to cancel an order that has been submitted to the market, but not filled from an overall strategy perspective.
So in a nutshell I can process strategies, place orders, and work orders.
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