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Case Study: Feed Handling Component
A mid-sized private equity trading firm.
The client contacted OCI to assist with a data feed migration from the Chicago Board of Trade to the Chicago Mercantile Exchange. The migration impacted three separate trading systems, each with its own feed-handling implementation for CBOT data.
The client needed to develop a reusable solution suitable for incorporation into these different environments, but still meet the approaching exchange-driven deadline.
Additionally, the client's build and configuration practices resulted in fragile build with duplicate code in numerous places in its source control system.
OCI provided analysis, design and development of a new CME feed-handling library, followed by integration and testing into two of the three systems processing CBOT data. Software developed by OCI included a library for market data processing, tools for instrument definition downloading, and feed configuration.
- Legacy system evaluation
- Software design, development, testing, deployment, and support
- Application of best practices for source control and build configuration
- Mentoring of client personnel
The client initially engaged OCI to provide consultation on the CBOT migration project. In addition, OCI applied best practices of source control, and build configuration to improve the client's development processes, and ultimately to a continuous build environment.
After the migration OCI was retained to work on another migration - to CME's FAST-based feed, Fix/FAST. In this case, OCI was first brought in to eliminate memory leaks, but then had its role expanded to fix an incorrect arbitration implementation, then the recovery mechanism, and ultimately the core FAST decoder.
Benefits of Solution
OCI's solution provided the client with several important benefits, including:
- Single implementation reused within multiple contexts.
- Best practices incorporated into client's workflow.
- Scripted automation of many tasks.
- Tools for improved testing.
- Continuous build providing better visibility into stat of source control.
OCI's involvement in the project enabled the client to meet both migration deadlines. As a result, the client now has a single implementation, used in multiple contexts, which is more robust, and scalable than its previous implementations, and at the same time reduced the client's maintenance costs. The continuous build and other development automation projects has resulted in a more predictable, streamlined, workflow with fewer steps from development to deployment.