[zeromq-dev] market data feed handler

Steven McCoy steven.mccoy at miru.hk
Wed Sep 28 20:27:08 CEST 2011


2011/9/28 Daniel Cegiełka <daniel.cegielka at gmail.com>

>
> W dniu 28 września 2011 18:17 użytkownik Martin Sustrik <
> sustrik at 250bpm.com> napisał:
>
> On 09/28/2011 06:01 PM, Daniel Cegiełka wrote:
>>
>>> Hi,
>>> I want to prepare the market data feed handler and I look at possible
>>> solutions. It would be nice if one could benefit from the topics
>>> filtering and multicast (more than 5 clients). This topic probably has
>>> already been occasionally discussed (http://whaleshark.zeromq.org/**),
>>> but
>>> ask about witch scheme (PUB/SUB, pgm) would be recommended for this type
>>> of solution.
>>>
>>> Can anyone share their experience and thoughts on this?
>>>
>>
>> It should definitely be PUB/SUB.
>>
>> However, as for the transport you should decide based on the traffic
>> profile.
>>
>> If sum of data received by all the consumers exceeds the amount of data
>> sent, use PGM.
>>
>> Otherwise use TCP.
>>
>>
> I suppose it is not possible to use a PUB/SUB and filtering
> (message-matching) in combination with the PGM? I noticed that if there is
> thread about the feed handler there is often used PGM. Thats why I'm
> interested experience of others in this topic...
>
>
It depends on your architecture, you may want PGM PUB/SUB to a series of
gateways that perform PUB/SUB filtering to TCP clients.

-- *ascii art below --*

+------+
| FEED |
+--+---+
   v
   v           PGM
 --+--+-------+---
      v       v
      v       v
   +--+---+ +-+----+
   | GW#1 | | GW#2 |
   +-+--+-+ +------+
     |  |
+---+-+ |
|TCP#1| |
+-----+++----+
       |TCP#2| ...
       +-----+
-- 
Steve-o
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