Creating a Trade Message Accumulator (cont.)
Today I finished up the trade message accumulator component for the Greek Engine and put it into play on the feeds from the exchanges. It's something that's been needed, and I'm hoping it's going to be able to accurately track the volume on each exchange for each instrument, but I'm not really certain that the volume numbers are all that reliable. I've seen a lot of pretty wild data from the exchanges, and I know that the prices are far more important than the sizes, and I've seen enough problems in the prices to suspect that the volumes may be accurately tracked and accumulated, but they probably aren't going to yield a really superior data stream.
It should be a lot closer, but I'm not willing to bet anything on these numbers - at least not yet.