Tick data retrieval

January 31, 2011

(This article was first published on Quantitative thoughts » EN, and kindly contributed to R-bloggers)

I just published Java based code to pull tick data from Interactive Brokers. There are thousands tools to get tick data from IB, but I had one feature in mind.

You can get maximum 50 quotes per second from Interactive Brokers (its IB limitation for TWS API) . Imagine a situation, when there is a delay in swapping incoming information, because I\O process is very slow or a short overload of the system. In such case either some piece of data will be lost or the system will crash. OK, let’s say you have plenty of RAM and speedy hard drive. Does it make sense for real time trading system to write tick data into disk and then pass all information further? Can it be done asynchronous? Yes and Java Message Service was build for that.

So, my idea was to build a tool, which would grab the tick data from provider and pass it to JMS. Retrieval tool doesn’t care what happens next – disk crash, heavy processing of the data or save on the storage. On the other end – JMS can have one or many clients and it will pass all incoming information. If something happens to a client during the transfer of the information – JMS will take care of it – it will wait for fallen clients by preserving incoming information.

If you are looking for how to stick together JMS, ActiveMQ, Spring, Hibernate, JPA and Maven, then this code can help you as well.

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