AlgoTraderAlgoTrader Documentation

Chapter 7. Market Data

All Market Data Interfaces have a set of unique artifacts:

Processing of Market Data is handled through the MarketDataService, which calls the market data provider specific ExternalMarketDataService implementations. Every market data service has to provide implementation of this interface e.g. (e.g. IBMarketDataServiceImpl or BBMarketDataServiceImpl).

The most important methods provided by the MarketDataService are subscribe and unsubscribe. Through the use of these methods new Market Data can be subscribed and unsubscribed. Subscribed securities are persisted within the DB-table subscription. The actual subscription of securities to the external broker is done through the market data provider specific MarketDataService.

Market data provider interfaces are responsible for receiving market data provider specific Market Data and sending them into the Esper Service Instance of the AlgoTrader Server. The Esper Service Instance will then convert these Events into generic MarketDataEvents (i.e. Ticks or Bars) which will be propagated to subscribed Strategies.