StatArb: Message Bus Integration (Solace Systems) – Part 7
Continuing on with the ETF Proof Of Concept (POC), its now time to being to consider the User Experience for this application, and also off-machine messaging. Solace Systems is a vendor in the messaging middleware space that offers a solution to delivery of high volumes of messaging with very low latency – hardware based messaging. Browsing over Solace customer page gives a hint as to which financial organizations are taking advantage of hardware acceleration and presumable reaping the rewards.
Leveraging the Solace messaging API coupled with the TPL Dataflow’s we can build an agent that writes to a Solace Topic:
_session = ConnectToAppliance(stockName);
_writer = new ActionBlock<MarketData>(marketData =>
{
IMessage message = ContextFactory.Instance.CreateMessage();
message.Destination = _topic;
message.DeliveryMode = MessageDeliveryMode.Direct;
message.BinaryAttachment = Encoding.ASCII.GetBytes(marketData.Price.ToString());
_session.Send(message);
message.Dispose();
});
In the above example, we’re effectively publishing a price on a topic. Likewise, we can begin to extend the usage of Solace in this POC, and write a WPF application that begins to visualise appropriate data generated by the ETF StatArb engine – that being trade signal, correlations, market data, strategy input and outputs, etc
Not to be a total nitpick, but why not use BitConverter.GetBytes? (Instead of ASCII.GetBytes(price.ToString())
[...] This looks like an awesome set of technologies to get into. [...]
AndyEunson.com » Interesting TPL DataFlow Use – Solace Systems Messaging Middleware + StatArb POC said this on February 5, 2011 at 3:36 am |