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April 28, 2021
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Designed to address constraints when integrating high-volume multicast market data feeds into the Cloud, this guide outlines how to integrate the ICE iMpact Multicast Market, from colocation to Cloud platforms.

A key constraint when integrating high-volume multicast market data feeds into Cloud platforms

When it comes to flexibility in cost, size, and speed of scaling, the major Cloud platforms (such as AWS and GCP) are highly effective across many use cases. But when we consider their ability to integrate high-volume multicast market data feeds into the Cloud, we face a major constraint. 

In such use cases, the network topologies do not support high bandwidth multicast market data feeds as used by major global financial exchanges.

What can be done? 

This guide outlines a proven approach to overcome this constraint.

Understanding effective use cases

The approach outlined here uses message queue replication from exchange colocation to the Cloud platform of choice. The use-cases where this works well, are contexts such as providing the necessary data to trade surveillance, where the ICE iMpact multicast market data feed is required in addition to ICE trade and order flows that are available on the ICE FIX Trade Capture and ICE FIX Private Order Feed services via TCP network connections.

This approach also works well for contexts that require a full orderbook reconstruction for depth analysis, where the data access requirements are not ultra-low latency algorithmic trading. Where a trading strategy itself has an ultra-low latency profile then the deployment in colocation is still the optimal approach.

How to integrate the ICE iMpact Multicast Market From Colocation To Cloud Platforms

Required steps for integration

There are a number of steps required to integrate the live production ICE iMpact Multicast Price Feed from your colocation server to your own server instance(s) in the Cloud (or anywhere else).

The solution for live data transfer includes the following components:

  1. Service to collect ICE iMpact data in colocation.
  2. Message queuing service.
  3. Service to replay ICE iMpact data in the Cloud.

The data flow will be like this: Collect -> Transfer -> Replay

Services to both collect ICE iMpact data, and also to replay it, can be implemented on top of the OnixS directConnect: ICE iMpact Multicast Price Feed Handler SDK Java implementation.

The message queuing service can be one of the following solutions:

  1. Amazon Simple Queue Service (SQS).
  2. Google CloudPub/Sub.
  3. Chronicle Queue.

Or any similar reliable queue replication solution of your choice.

ICE iMpact Data Collector in Colocation

To implement a collector service for the colocation environment, you need to do the following:

  • Configure the OnixS ICE iMpact Handler SDK for production data gathering.
  • Register PacketProcessingListener to get all the incoming data packets.
  • For onPacketReceived callbacks, implement some logic to put this data to the message queue for transfer.
  • Run the OnixS ICE iMpact Handler SDK to start receiving TCP and then UDP data and send it over the network to the destination host.

There are three call-backs available for PacketProcessingListener:

  • onPacketProcessingStarted indicates that packet processing is started. We don't need this event for this simple implementation, but it can be useful if you want to track latencies in the packet processing.
  • onPacketProcessingFinished indicates that packet processing is finished. This event can be used to get latency samples for future analysis.
  • onPacketReceived is the most interesting call-back as we need to get the data from PacketProcessingEventArgs, create a message for our messaging service, and send it to the destination server.

There are three properties which you need to transfer:

  • Packet source.
  • Packet data.
  • Packet timestamp.

For more details on how to get this data from PacketProcessingEventArgs please see our custom-log-replay reference implementation source code sample that is included in the OnixS directConnect: ICE iMpact Multicast Price Feed Handler SDK Java implementation distribution package.

Messaging Service

Depending on your choice, you need to use the corresponding API of the messaging service you selected. In our custom-log-replaysample we are using just LinkedBlockingQueue, but in the real-world scenario, the API you need to use can be slightly more complicated.

For example, in the case of Chronicle Queue, you can use self-describing messages or define your own message to send ICE iMpact data to the wire.

ICE iMpact Data Replay on Destination Server

On the destination server, depending on the messaging system of your choice, you will have a call-back or an event handler which will be triggered each time a new message is received. 

And to replay these messages and receive the Handler's call-back, you need to do the following:

  • Configure the Handler for log replay with a custom log reader.
  • Implement LogReader interface for your application to read messages from your queue and feed them to the Handler.
  • Run the Handler to start consuming data from the Colocation.

Implementation Source Code Reference Sample

All the implementation details can be found in the custom-log-replay sample. There are only two classes:

  • CustomLogReplayApp - configures and creates both source (colocation) and destination Handlers and starts processing. Just for simplicity, the source Handler is also configured to consume data from the log file. But you can easily switch it to normal mode by minor changes in the configuration. Please see ‘getting-started’ in the referenced sample code for more details.

CustomLogReader - shows how to collect data and add it to the queue and how to feed this data back to the Handler.

Troubleshooting and Questions When Implementing

If you are trying to implement this, then you almost certainly will have some questions. 

We would first suggest that you register to download the fully functional OnixS directConnect: ICE iMpact Multicast Price Feed Handler SDK Java implementation evaluation distribution package that includes the referenced samples.

You can reference the OnixS directConnect: ICE iMpact Multicast Price Feed Handler SDK Programming Guide.

Have a closer look at those samples, and please do not hesitate to contact OnixS Support at support@onixs.biz if you get stuck or need assistance.

You can also contact us at sales@onixs.biz for a walk-through discussion to help you get what you need.

Request Evaluation Access

You can request an evaluation of the OnixS directConnect: ICE iMpact Market Data Handler SDK to support your integration.

You can download an evaluation here.

Try the OnixS directConnect Market Data Handler SDK