[ts-gen] FX bid/ask quotes truncated

Bill Pippin pippin at owlriver.net
Mon Aug 3 13:47:02 EDT 2009


Ken,

Thanks for the following feedback:

> I want to say a word of appreciation to both you and Russ for the work
> done here in the Shim.  The more I understand it, the more I am awed
> by the amount of effort required to build a technically robust
> real-time system.  Keep up the good work, and I hope one day, I will
> understand your design/code enough to help out a little here and
> there!

I'm glad to hear of your interest, and we'll be delighted if you choose
to contribute to the codebase.
 
> Just as a side-note, are you aware of this Java CEP (Complex Event
> Processing) library?
 
>   http://esper.codehaus.org/

I hadn't until now; their site is interesting.
 
> At one point, pre-Shim days, I was looking into using Esper with the
> Java TWS API to listen to the pipe and to send orders ...

I suspect that the esper system might well be of use in writing
downstream applications, those beyond the shim, of the kind I would
currently write in ruby.

> ... I thought you might be interested in various designs for the
> built-in language.

Adding an event-processing language to the shim is a very interesting
idea, although it would be a significant amount of work, and a radical
departure from the current design, where the shim provides essentially
three low-level services, and a fourth higher level function:

    1.  rate limiting and timing for requests;
 
    2.  record parsing and checking, with newlines signalling record
        boundaries to the downstream; and

    3.  translation between contract symbol or order keys and IB tws
        api tick (numeric) ids; as well as:

    4.  order journalling and cross-session order management, via
        the database.

If the latency is not too great, perhaps you might use the shim as a
data source for an esper system.  The hard problems of rate limiting
and event recognition have already been done by the shim.  If you
try this, please let us know on the list how it works out.

Thanks,

Bill


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