Lots of Meetings Bringing New Features to Ticker Plants
I've been in a lot of meetings all afternoon, but in the end, the good outweighed the bad. These other groups had their own biases, of course, and no one wanted to "just give in" and use the stuff I've been working on, but that's really understandable. After all, a few lifetimes ago, it wasn't until after my ticker plant was proven for the most demanding client (my own risk engine) that other people started to see the value in it. SO it goes... I'm going to have to prove it, and I understand that.
Still... they had several good points:
- If we conflate the messages by type and instrument, how will they know that any conflation happened? It seems reasonable that they should be given some kind of information about the conflation being done.
- They'd like to be able to know what "stream" the message came from. There's 24 OPRA channels, and they'd like to know which one sourced this message. That's fair, but I have no intention of putting that in the message - that's going to be a client-side look-up method to keep the messages small and useful.
- The exchange is an important part of the conflation - meaning they want to have one quote message for the AAPL Jul 350 C per exchange. Yikes! I hadn't planned for that. That's going to make the cache much larger, but so it goes.
Many of these aren't too bad to add, and it's reasonable to get them out quickly, but some of the others are a little trickier, and it might be better to think of the real solution to the problem as a completely different kind of answer. For example, what about having a message with all the exchange prices and sizes for a given instrument. Then, when it's shipped out, the user gets all the prices - at once. It's got possibilities.
It's late and I need to catch a train, but it's a lot to do in the coming weeks.