Cacheing Price Feeds in the Greek Engine
Today I've been working on putting a cache back into all the price feeds for my greek engine - and then persisting them to the config service. This is important because when I reload the instruments, it'd be nice to be able to hit a cache and have the instruments "priced" right away. I tried hitting the external ticker plants, but that was nowhere near fast enough. I needed something that was a lot faster.
Then again, I also realized that the first deployment of the engine will not need the external ticker plants, so it made sense to spend a little on the memory footprint, and put the caches - with persistence, into the engine. It's going to pay off.
Again, the speed was pretty nice, but the sheer volume of data is pretty big, so it's going to take a few seconds to persist all the data, but that's OK. It's going to be done in an off-loaded thread, so it's not that bad.
Getting closer. I now have good prices, and persistence that makes testing fast... it's really starting to come together.