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trading-shim Screen Shots

Market data (tickstream)

Market Data, and History data, in /var/log/messages
We extract from /var/log/messages both Market data, and History information, as retrieved by the trading-shim, for the Dow Mini, a 'FUT' (Future), ticker 'YM', traded through Interactive Brokers through their 'SMART' exchange.

Order management

A speedy fill on a SELL MKT
[full size, in a new panel for study]

This is an interesting screen shot on the way to orders -- The tool being used to 'visualize' the network packet flow is tcpdump. All sniffing is being done at the client [IP:] running the shim.

The order was placed from the client computer by the bin/unsafe testing script driving the shim with commands (center left panel); this uses the database information which ships with the standard trading-shim SQL load, using: sql/create.sql :
verb 2 Detail;
tick add 166 1;
which are reflected by the notation:
subscribe to AIG
In turn (in part), the shim consulted its database of 'Contract ID's' to validate the command, and then converted this to a socket command stream (top right panel) that the TWS can understand, and sent to the TWS across the network:
13:38:34.086341    AIG.STK..0.00..1.SMART..USD..SELL.100.MKT.
As said, that was sent out on the wire to another computer [IP:] running the TWS.

That upstream computer communicated to IB, and then returned a execution report of it being filled as received back from IB by that TWS. This is out of the screenshot, as it would not fit both frames:
13:38:34.251194    STK..0.0..SMART.USD.AIG.00018037.
and then summarized again in the screenshot (lower right panel),
13:38:34.251666    Filled.
The very last line in the panel peeking from underneath at the bottom left shows the trade:
SLD 100 AIG Stock AIG 66.57 USD ISLAND 20061102 13:38:34 00018037...
And the shim reports the trade in the fourth through sixth lines starting with the word: Nov in the top left panel. Note that these lines wrap across the screen and are displayed with a spillover linewrap continuation. We spread them out a bit here
Nov 2 13:38:34 centos-4 : shim|real|0.26|13308|49114|

Nov 2 13:38:34 centos-4 : shim|real|0.26|13308|49114|

Nov 2 13:38:34 centos-4 : shim|real|0.26|13308|49114|

Order takeaways

Yes, the order completed round trip, from transmission of a well-formed request to fill confirmation, in 0.164853 Sec., and the shim finished reporting the fill in a formatted form to the downstream client through logging 0.000472 Sec. after that. Sub Second fills, and sub milliSecond reporting. We are really pleased with the speed here, in light of our focus on 'design for scalability to hundreds of simultaneous lines of inquiry'.

The tcpdump command lines used in the right side panels were thus:
sudo /usr/sbin/tcpdump -i eth0 -s 0 -nnxX port 7496 and src host
sudo /usr/sbin/tcpdump -i eth0 -s 0 -nnxX port 7496 and dst host

The ImageMagick import command was used to take the screenshot, as indicated.

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