Getting Going on Time and Sales Service
Today I did a lot of work helping people get focused on what we should be doing. For my part, we needed a Time and Sales Service where each option trade sent to us by the exchanges needs to be captured, a few implied volatilities calculated, and then shot out to the waiting clients. This is really orthogonal to the rest of the greek engine, so I wanted to tackle that so it doesn't slow down other people, or divert them from the primary goals.
The design is going to be very simple: a service that takes an Option and a Print message and queues it up to be calculated and sent out. Very simple. The design is pretty simple: have a struct (object) that will hold all I need from the two incoming arguments, fill it on entry, queue that, and return. All this should be very fast as it's all just ivar calls to the base objects.
Then the queue has a processing thread, and will take these off one by one, calculate the values, and then generate the messages in the legacy and new formats so that we can feed both the old and new systems. Pretty simple.