Building Combined Pricing Feed for Greek Engine
This afternoon I got the combined pricing feed for the greek engine working. It's not that hard - just a combination of an existing UDP exchange feed and a receiver of the legacy data with a little NBBO engine thrown in to generate the NBBO quotes for these options. It's nothing that amazing, but it needed to be put together as a unit so that it's a lot easier to use than glueing all those pieces together in the greek engine.
Not glamorous, but it's got to be done.