June 27th, 2016, 12:15 pm
I'm working on a product that prices in real-time, and I'm interested in how to describe this pricing information to the machines that actually do the trading.One approach would be to distribute the actual bid/ask prices to these machines and they blindly use those values until told otherwise.A second approach would be to instead send some statistical information about each item being traded to them, and then they use that to compute a price on the fly.The first approach has the advantage that the trading machines are quite dumb, but the disadvantage that they will miss out on pricing movements until our number crunching machines distribute a new price.The second approach makes things more complex but I'm not sure how to 'describe' a pricing model. Sending the coefficients of a graph is one possibility and would be quick to compute, or perhaps some simple statistical info.To actually distribute the information we could use ZeroMQ or poll a redis db every few seconds.How do others approach this? I assume if you're using FPGAs you'd use to first approach to save space and for speed.